| 书目名称 | Continuous-time Stochastic Control and Optimization with Financial Applications | | 编辑 | Huyên Pham | | 视频video | http://file.papertrans.cn/238/237052/237052.mp4 | | 概述 | Includes supplementary material: | | 丛书名称 | Stochastic Modelling and Applied Probability | | 图书封面 |  | | 描述 | .Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control...This volume 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. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc...This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing toknow more about the use of stochastic optimization methods in finance.. | | 出版日期 | Textbook 2009 | | 关键词 | Martingale; Optimization Methods; Stochastic Differential Equations; Stochastic Optimization; backward s | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-540-89500-8 | | isbn_softcover | 978-3-642-10044-4 | | isbn_ebook | 978-3-540-89500-8Series ISSN 0172-4568 Series E-ISSN 2197-439X | | issn_series | 0172-4568 | | copyright | Springer-Verlag Berlin Heidelberg 2009 |
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