Continuous-time Stochastic Control and Optimization with Financial Applications by Huyn Pham

Continuous-time Stochastic Control and Optimization with Financial Applications by Huyn Pham

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 toknow more about the use of stochastic optimization methods in finance.

1995: PhD in applied mathematics, University Paris Dauphine

1995: Assistant Professor, University Marne-la-Vallée

1999: Professor, University Paris 7

2006: Member Institut Universitaire de France

SKU	Non disponible
ISBN 13	9783642100444
ISBN 10	3642100449
Titre	Continuous-time Stochastic Control and Optimization with Financial Applications
Auteur	Huyên Pham
Série	Stochastic Modelling And Applied Probability
État	Non disponible
Type de reliure	Paperback
Éditeur	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Année de publication	2010-10-19
Nombre de pages	232
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible