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Continuous-time Stochastic Control and Optimization with Financial Applications
- Language:
- English
- ISBN:
- 9783540894995
- Binding:
- Hardback
- Pages:
- 232
- Published:
- June 17, 2009
- Edition:
- 2009
- Dimensions:
- 165x243x20 mm.
- Weight:
- 544 g.
Delivery:
2-4 weeks
Expected delivery: July 27, 2025
Description of Continuous-time Stochastic Control and Optimization with Financial Applications
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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