Game Theory

New PDF release: Continuous-time Stochastic Control and Optimization with

By Huyên Pham

ISBN-10: 3540894993

ISBN-13: 9783540894995

ISBN-10: 3642100449

ISBN-13: 9783642100444

Stochastic optimization difficulties come up in decision-making difficulties below uncertainty, and locate numerous purposes in economics and finance. nevertheless, difficulties in finance have lately resulted in new advancements within the conception of stochastic keep an eye on. This quantity offers a scientific therapy of stochastic optimization difficulties utilized to finance by means of providing the various latest tools: dynamic programming, viscosity suggestions, backward stochastic differential equations, and martingale duality tools. the idea is mentioned within the context of modern advancements during this box, with entire and distinct proofs, and is illustrated by way of concrete examples from the area of finance: portfolio allocation, choice hedging, genuine strategies, optimum funding, and so on. This ebook is directed in the direction of graduate scholars and researchers in mathematical finance, and also will profit utilized mathematicians attracted to monetary functions and practitioners wishing to understand extra in regards to the use of stochastic optimization equipment in finance.

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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability) by Huyên Pham


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