Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)

Pham, Huyên

ISBN 10: 3540894993 / ISBN 13: 9783540894995

Published by Springer (edition 2009), 2009

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Bibliographic Details

• Title: Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
• Publisher: Springer (edition 2009)
• Publication Date: 2009
• Language: English
• ISBN 10: 3540894993
• ISBN 13: 9783540894995
• Binding: Hardcover
• Edition: 2009.
• Condition: Good

About this title

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