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"item_title" : "Continuous-Time Stochastic Control and Optimization with Financial Applications",
"item_author" : [" Huyên Pham "],
"item_description" : "Some elements of stochastic analysis.- Stochastic optimization problems. Examples in finance.- The classical PDE approach to dynamic programming.- The viscosity solutions approach to stochastic control problems.- Optimal switching and free boundary problems.- Backward stochastic differential equations and optimal control.- Martingale and convex duality methods.",
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Overview
Some elements of stochastic analysis.- Stochastic optimization problems. Examples in finance.- The classical PDE approach to dynamic programming.- The viscosity solutions approach to stochastic control problems.- Optimal switching and free boundary problems.- Backward stochastic differential equations and optimal control.- Martingale and convex duality methods.
This item is Non-Returnable
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Details
- ISBN-13: 9783642100444
- ISBN-10: 3642100449
- Publisher: Springer
- Publish Date: October 2010
- Dimensions: 9.21 x 6.14 x 0.53 inches
- Shipping Weight: 0.79 pounds
- Page Count: 232
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