Continuous-time Stochastic Control and Optimization with Financial Applications

• Main Author: Pham, Huyn̊. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Stochastic Modelling and Applied Probability, 61
• Subjects: Mathematics.; Finance.; Systems theory.; Mathematical optimization.; Distribution (Probability theory).; Calculus of Variations and Optimal Control; Optimization.; Game Theory, Economics, Social and Behav. Sciences.; Systems Theory, Control.; Probability Theory and Stochastic Processes.; Quantitative Finance.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-540-89500-8

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...

Table of Contents:

• Preface
• 1.Some elements of stochastic analysis
• 2.Stochastic optimization problems. Examples in finance
• 3.The classical PDE approach to dynamic programming
• 4.The viscosity solutions approach to stochastic control problems
• 5.Optimal switching and free boundary problems
• 6.Backward stochastic differential equations and optimal control
• 7.Martingale and convex duality methods
• Appendices: A.Complements of integration
• B.Convex analysis considerations
• References
• Index.