Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis...
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| Autor Corporativo: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
New York, NY :
Springer New York
2013.
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| Colección: | Fields Institute Monographs ;
29. Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b32910952*spi |
Tabla de Contenidos:
- Preface
- 1. Conditional Expectation and Linear Parabolic PDEs
- 2. Stochastic Control and Dynamic Programming
- 3. Optimal Stopping and Dynamic Programming
- 4. Solving Control Problems by Verification
- 5. Introduction to Viscosity Solutions
- 6. Dynamic Programming Equation in the Viscosity Sense
- 7. Stochastic Target Problems
- 8. Second Order Stochastic Target Problems
- 9. Backward SDEs and Stochastic Control
- 10. Quadratic Backward SDEs
- 11. Probabilistic Numerical Methods for Nonlinear PDEs
- 12. Introduction to Finite Differences Methods
- References.
