| 书目名称 | Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE | | 编辑 | Nizar Touzi | | 视频video | | | 概述 | Provides a self-contained presentation of the recent developments in Stochastic target problems which cannot be found in any other monograph.Approaches quadratic backward stochastic differential equat | | 丛书名称 | Fields Institute Monographs | | 图书封面 |  | | 描述 | This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the secondorder extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward st | | 出版日期 | Book 2013 | | 关键词 | backwards stochastic differential equations; dynamic programming; financial mathematics; stochastic con | | 版次 | 1 | | doi | https://doi.org/10.1007/978-1-4614-4286-8 | | isbn_softcover | 978-1-4939-0042-8 | | isbn_ebook | 978-1-4614-4286-8Series ISSN 1069-5273 Series E-ISSN 2194-3079 | | issn_series | 1069-5273 | | copyright | Springer Science+Business Media New York 2013 |
The information of publication is updating
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE影响因子(影响力)
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE影响因子(影响力)学科排名
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE网络公开度
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE网络公开度学科排名
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE被引频次
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE被引频次学科排名
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE年度引用
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE年度引用学科排名
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE读者反馈
书目名称Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE读者反馈学科排名
|
|
|
发表于 2025-3-21 17:57:28
