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

Continuous-Time Stochastic Control and Optimization with Financial Applications (Paperback) (ISBN-13: 9783642100444)

Vendor: Huy麩 Pham
Product type: Books
Format: Paperback
$79.99
$79.99
$79.99
Subtotal: $79.99
Continuous-Time Stochastic Control and Optimization with Financial Applications by Pham, Huyên

Continuous-Time Stochastic Control and Optimization with Financial Applications

$79.99
Continuous-Time Stochastic Control and Optimization with Financial Applications by Pham, Huyên

Continuous-Time Stochastic Control and Optimization with Financial Applications

$79.99
Format: Paperback
Description
Description
x
Some elements of stochastic analysis.- Stochastic optimization problems. Examples in finance.- The classical PDE approach to dynamic programming.- The viscosity solutions approach to stochastic control problems.- Optimal switching and free boundary problems.- Backward stochastic differential equations and optimal control.- Martingale and convex duality methods.

Author: Huy麩 Pham
ISBN-10: 3642100449
ISBN-13: 9783642100444
Publisher: Springer
Language: English
Published: 10/19/2010
Pages: 232
Format: Paperback
Weight: 0.79lbs
Size: 9.21h x 6.14w x 0.53d
By Huy麩 Pham
By Huy麩 Pham
x

1995: PhD in applied mathematics, University Paris Dauphine

1995: Assistant Professor, University Marne-la-Vall馥

1999: Professor, University Paris 7

2006: Member Institut Universitaire de France

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