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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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    • Title: Continuous-Time Stochastic Control and Optimization With Financial Applications by Huyên Pham
    • Publisher: Springer Nature
    • Print ISBN: 9783540894995, 3540894993
    • eText ISBN: 9783540895008
    • Edition: 2009 2009 edition
    • Format: PDF eBook
    $24.00
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