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Stochastic control problems, viscosity solutions and application to finance

Jezik EngleskiEngleski
Knjiga Meki uvez
Knjiga Stochastic control problems, viscosity solutions and application to finance Nizar Touzi
Libristo kod: 01967702
Nakladnici Birkhauser Verlag AG, listopad 2002
These notes have been prepared for the Special Research Semester on Financial Markets, which was hel... Cijeli opis
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These notes have been prepared for the Special Research Semester on Financial Markets, which was held in Pisa, from April 29 to July 15, 2002. The general topics of these lectures is the Hamilton-Jacobi-Bellman approach to stochastic control problems, with applications to finance. Some of the topics treated are: the classical standard class of stochastic control problems, the assosiated dynamic programming principle, the HJB equation, the classical Merton portfolio selection problem, the law of iterated logarithm for double stochastic integrals, the theory of viscosity solutions, singular control problems, the face-lifting phenomenon.

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Informacije o knjizi

Puni naziv Stochastic control problems, viscosity solutions and application to finance
Autor Nizar Touzi
Jezik Engleski
Uvez Knjiga - Meki uvez
Datum izdanja 2002
Broj stranica 62
EAN 9788876421365
ISBN 887642136X
Libristo kod 01967702
Nakladnici Birkhauser Verlag AG
Težina 170
Dimenzije 240 x 171 x 6

Kategorija

Mathematics & Science > Mathematics > Calculus & mathematical analysis > Calculus of variations
Mathematics & Science > Mathematics > Optimization > Linear programming
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