Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis...
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| Format: | Electronic |
| Language: | English |
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New York, NY :
Springer New York : Imprint: Springer,
2013.
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| Series: | Fields Institute Monographs,
29 |
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| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-1-4614-4286-8 |