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

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

Summary

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.

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Continuous-time Stochastic Control and Optimization with Financial Applications by Huyên 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 Unavailable
ISBN 13 9783642100444
ISBN 10 3642100449
Title Continuous-time Stochastic Control and Optimization with Financial Applications
Author Huyên Pham
Series Stochastic Modelling And Applied Probability
Condition Unavailable
Binding Type Paperback
Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Year published 2010-10-19
Number of pages 232
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note Unavailable