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Continuous-time Stochastic Control and Optimization with Financial Applications - Huyen Pham - Bog

Bag om 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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540894995
  • Indbinding:
  • Hardback
  • Sideantal:
  • 232
  • Udgivet:
  • 18. juni 2009
  • Udgave:
  • 2009
  • Størrelse:
  • 165x243x20 mm.
  • Vægt:
  • 544 g.
  • 8-11 hverdage.
  • 19. november 2024
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  • BLACK NOVEMBER

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Prøv i 30 dage for 45 kr.
Herefter fra 79 kr./md. Ingen binding.

Beskrivelse af 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.

Brugerbedømmelser af Continuous-time Stochastic Control and Optimization with Financial Applications



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