Continuous-time Stochastic Control and Optimization with Financial Applications

Continuous-time Stochastic Control and Optimization with Financial Applications
Author :
Publisher : Springer Science & Business Media
Total Pages : 243
Release :
ISBN-10 : 9783540895008
ISBN-13 : 3540895000
Rating : 4/5 (000 Downloads)

Book Synopsis Continuous-time Stochastic Control and Optimization with Financial Applications by : Huyên Pham

Download or read book Continuous-time Stochastic Control and Optimization with Financial Applications written by Huyên Pham and published by Springer Science & Business Media. This book was released on 2009-05-28 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.


Continuous-time Stochastic Control and Optimization with Financial Applications Related Books

Continuous-time Stochastic Control and Optimization with Financial Applications
Language: en
Pages: 243
Authors: Huyên Pham
Categories: Mathematics
Type: BOOK - Published: 2009-05-28 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand,
Stochastic Controls
Language: en
Pages: 459
Authors: Jiongmin Yong
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic
Stochastic Optimization in Continuous Time
Language: en
Pages: 346
Authors: Fwu-Ranq Chang
Categories: Business & Economics
Type: BOOK - Published: 2004-04-26 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the bo
Controlled Markov Processes and Viscosity Solutions
Language: en
Pages: 436
Authors: Wendell H. Fleming
Categories: Mathematics
Type: BOOK - Published: 2006-02-04 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic program
Continuous-Time Markov Chains and Applications
Language: en
Pages: 442
Authors: G. George Yin
Categories: Mathematics
Type: BOOK - Published: 2012-11-14 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing system