Overview
- Includes supplementary material: sn.pub/extras
Part of the book series: Stochastic Modelling and Applied Probability (SMAP, volume 61)
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Table of contents (7 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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.
About the author
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
Bibliographic Information
Book Title: Continuous-time Stochastic Control and Optimization with Financial Applications
Authors: Huyên Pham
Series Title: Stochastic Modelling and Applied Probability
DOI: https://doi.org/10.1007/978-3-540-89500-8
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2009
Hardcover ISBN: 978-3-540-89499-5Published: 18 June 2009
Softcover ISBN: 978-3-642-10044-4Published: 19 October 2010
eBook ISBN: 978-3-540-89500-8Published: 28 May 2009
Series ISSN: 0172-4568
Series E-ISSN: 2197-439X
Edition Number: 1
Number of Pages: XVII, 232
Additional Information: Original French edition published as volume 61 in the series: Mathématiques & Applications
Topics: Probability Theory and Stochastic Processes, Optimization, Calculus of Variations and Optimal Control; Optimization, Quantitative Finance, Systems Theory, Control, Game Theory, Economics, Social and Behav. Sciences