Continuous-time Stochastic Control and Optimization with Financial Applications
Huyen Pham
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2009
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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.
- ISBN-13
- 9783540894995
- ISBN-10
- 3540894993
- Publisher
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Year
- 2009
- Publication date
- 2009-06-18
- Pages
- 232
- Dimensions
- 243x165x20
- Weight
- 544