Stochastic control problems, viscosity solutions and application to finance

Name: Stochastic control problems, viscosity solutions and application to finance
Brand: Birkhauser Verlag AG
SKU: 9788876421365
Price: 119.53 RON
Availability: InStock

Autor: Nizar Touzi

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Legare: Carte broșată

Editura: Birkhauser Verlag AG

Disponibilitate: șansă 50%

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119.53 lei

These notes have been prepared for the Special Research Semester on Financial Markets, which was hel...

Informații despre carte

Autor

Nizar Touzi

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2002

Pagini

EAN

9788876421365

ISBN

887642136X

Enbook ID

01967702

Editura

Birkhauser Verlag AG

Greutate

170

Dimensiuni

240 x 171 x 6

Descriere completă

These notes have been prepared for the Special Research Semester on Financial Markets, which was held in Pisa, from April 29 to July 15, 2002. The general topics of these lectures is the Hamilton-Jacobi-Bellman approach to stochastic control problems, with applications to finance. Some of the topics treated are: the classical standard class of stochastic control problems, the assosiated dynamic programming principle, the HJB equation, the classical Merton portfolio selection problem, the law of iterated logarithm for double stochastic integrals, the theory of viscosity solutions, singular control problems, the face-lifting phenomenon.

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Stochastic control problems, viscosity solutions and application to finance

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