Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Nizar Touzi
Sep 2012 · Fields Institute Monographs Buku 29 · Springer Science & Business Media
e-Buku
214
Halaman
reportRating dan ulasan tidak disahkan Ketahui Lebih Lanjut
Perihal e-buku ini
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.
Berikan rating untuk e-Buku ini
Beritahu kami pendapat anda.
Maklumat pembacaan
Telefon pintar dan tablet
Pasang apl Google Play Books untuk Android dan iPad/iPhone. Apl ini menyegerak secara automatik dengan akaun anda dan membenarkan anda membaca di dalam atau luar talian, walau di mana jua anda berada.
Komputer riba dan komputer
Anda boleh mendengar buku audio yang dibeli di Google Play menggunakan penyemak imbas web komputer anda.
eReader dan peranti lain
Untuk membaca pada peranti e-dakwat seperti Kobo eReaders, anda perlu memuat turun fail dan memindahkan fail itu ke peranti anda. Sila ikut arahan Pusat Bantuan yang terperinci untuk memindahkan fail ke e-Pembaca yang disokong.
