Numerical Analysis of a FreeBoundary Singular Control Problem in Financial Economics Classic Reprint
Language: English
Published by Forgotten Books, 2018
- Hardcover
- New
Seller: PBShop.store UK, Fairford, GLOS, United KingdomPBShop.store UK
AbeBooks seller since June 11, 1999
Condition: New
US$ 37.54
Quantity: 15 available
Add to basketItem description from seller
New Book. Shipped from UK. Established seller since 2000.
Seller Inventory # LX-9780656034468
- Title
- Numerical Analysis of a FreeBoundary Singular Control Problem in Financial Economics Classic Reprint
- Author
- Ayman Hindy
- Publisher
- Forgotten Books
- Publication year
- 2018
- Condition
- New
- Binding
- HRD
- Language
- English
- ISBN 10
- 0656034467
- ISBN 13
- 9780656034468
- Item weight
- 270 grams
Explore how advanced math guides optimal financial choices, even when decisions happen at a boundary.
This book, Numerical Analysis of a Free-Boundary Singular Control Problem in Financial Economics, presents the theory and numerical tools behind a complex control problem in finance.
This work focuses on dynamic programming, viscosity solutions, and the numerical schemes used to approximate continuous-time problems with jumps and singular paths. It explains how a free-boundary surface determines when consumption occurs and how Markov chain approximations translate a continuous model into computable steps, while preserving key features like local consistency and gradient constraints.- Learn the structure of the control problem, its economic interpretation, and why singular controls matter.
- See how the value function is characterized as a viscosity solution and how convergence is established for the numerical scheme.
- Understand how discrete Markov decision problems approximate the original problem and how optimal policies are computed.
- Gain insight into the practical steps of implementing a finite-difference, backward-induction approach on a constrained domain.
"Synopsis" may belong to another edition of this title.
PBShop.store UK
Fairford, GLOS, United Kingdom
AbeBooks seller since June 11, 1999
Shipping rates from United Kingdom to U.S.A.
| Item | 10 to 20 business days | 10 to 20 business days |
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