Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
Pham, Huyên
ISBN 10: 3642100449 ISBN 13: 9783642100444
Published by Springer, 2010
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Soft cover
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Ria Christie Collections, Uxbridge, United Kingdom
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Synopsis:
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 toknow more about the use of stochastic optimization methods in finance.
About the Author:
1995: PhD in applied mathematics, University Paris Dauphine
1995: Assistant Professor, University Marne-la-Vallée
1999: Professor, University Paris 7
2006: Member Institut Universitaire de France
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Bibliographic Details
Title: Continuous-time Stochastic Control and ...
Publisher: Springer
Publication Date: 2010
Binding: Soft cover
Condition: New