Titlebook: Optimal Investment; L. C. G. Rogers Book 2013 Springer-Verlag Berlin Heidelberg 2013 91G10, 91G70, 91G80, 49L20, 65K15.Hamilton-jacobi-Bel

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978-3-642-35201-0Springer-Verlag Berlin Heidelberg 2013

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Numerical Solution,chapters when analytic methods fail. The main technique is policy improvement, but this requires an effective translation of an optimization problem for a controlled diffusion into an optimization problem for a controlled Markov chain, and various techniques for this are discussed.

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Book 2013tal Merton problem, many variants are presented and solved, often using numerical techniques .that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.

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L. C. G. RogersPresents the main methods for solving stochastic optimal control problems arising in finance.Through a large number of worked problems, illustrates how to use a combination of analytic and numerical t

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