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001 978-3-540-89500-8
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007 cr nn 008mamaa
008 100301s2009 gw | s |||| 0|eng d
020 _a9783540895008
_9978-3-540-89500-8
024 7 _a10.1007/978-3-540-89500-8
_2doi
050 4 _aQA273.A1-274.9
050 4 _aQA274-274.9
072 7 _aPBT
_2bicssc
072 7 _aPBWL
_2bicssc
072 7 _aMAT029000
_2bisacsh
082 0 4 _a519.2
_223
100 1 _aPham, Huy�n.
_eauthor.
245 1 0 _aContinuous-time Stochastic Control and Optimization with Financial Applications
_h[electronic resource] /
_cby Huy�n Pham.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2009.
300 _aXVII, 232 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aStochastic Modelling and Applied Probability,
_x0172-4568 ;
_v61
505 0 _aSome elements of stochastic analysis -- Stochastic optimization problems. Examples in finance -- The classical PDE approach to dynamic programming -- The viscosity solutions approach to stochastic control problems -- Optimal switching and free boundary problems -- Backward stochastic differential equations and optimal control -- Martingale and convex duality methods.
520 _aStochastic 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.
650 0 _aMathematics.
650 0 _aGame theory.
650 0 _aEconomics, Mathematical.
650 0 _aSystem theory.
650 0 _aMathematical optimization.
650 0 _aCalculus of variations.
650 0 _aProbabilities.
650 1 4 _aMathematics.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aOptimization.
650 2 4 _aCalculus of Variations and Optimal Control; Optimization.
650 2 4 _aQuantitative Finance.
650 2 4 _aSystems Theory, Control.
650 2 4 _aGame Theory, Economics, Social and Behav. Sciences.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783540894995
830 0 _aStochastic Modelling and Applied Probability,
_x0172-4568 ;
_v61
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-540-89500-8
912 _aZDB-2-SMA
999 _c186694
_d186694