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Continuous-Time Stochastic Control and Optimization with Financial Applications

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Continuous-Time Stochastic Control and Optimization with Financial Applications - Pham, Huyên
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This text 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.

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Continuous-Time Stochastic Control and Optimization with Financial Applications 2010, Springer, Berlin, Heidelberg

ISBN-13: 9783642100444

Trade paperback

Continuous-Time Stochastic Control and Optimization with Financial Applications 2009, Springer, Berlin, Heidelberg

ISBN-13: 9783540894995

2009 edition

Hardcover