Continuous-time stochastic control and optimization with financial applications
Auteur :
Pham, Huyen
Éditeur :
Pham, Huyen
ISBN :
9783642100444
Date de publication :
19 oct. 2010
Dimensions :
23,4 x 15,6 x 1,3 cm
Poids :
391 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Allemagne
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.