Continuous time Stochastic Control and Optimization with Financial Applications is popular PDF and ePub book, written by Huyên Pham in 2009-05-28, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Continuous time Stochastic Control and Optimization with Financial Applications can be Read Online from any device for your convenience.
Continuous time Stochastic Control and Optimization with Financial Applications Book PDF Summary
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 to know more about the use of stochastic optimization methods in finance.
Detail Book of Continuous time Stochastic Control and Optimization with Financial Applications PDF
- Author : Huyên Pham
- Release : 28 May 2009
- Publisher : Springer Science & Business Media
- ISBN : 9783540895008
- Genre : Mathematics
- Total Page : 243 pages
- Language : English
- PDF File Size : 7,8 Mb
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