Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability - Huyen Pham - Books - Springer-Verlag Berlin and Heidelberg Gm - 9783540894995 - June 18, 2009
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Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability 2009 edition

Huyen Pham

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Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability 2009 edition

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.

256 pages, biography

Media Books     Hardcover Book   (Book with hard spine and cover)
Released June 18, 2009
ISBN13 9783540894995
Publishers Springer-Verlag Berlin and Heidelberg Gm
Pages 232
Dimensions 165 × 243 × 20 mm   ·   544 g
Language English  
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