Stochastic optimal control in finance
Auteur :
Soner, Mete
Éditeur :
Birkhauser Verlag AG
ISBN :
9788876421396
Date de publication :
1 oct. 2005
Dimensions :
24,0 x 17,0 cm
Langue :
Anglais
Pays d'origine :
Italie
Features the extended version of the Cattedra Galileiana the author gave in April 2003 in Scuola Normale, Pisa. This title gives an introduction to stochastic optimal control and the dynamic programming approach to control, which is done through several important examples that arise in mathematical finance and economics.