Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE - Couverture souple
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Synopsis
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the secondorder extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.
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Présentation de l'éditeur
This book collects recent developments in stochastic control theory with applications to financial mathematics. It approaches quadratic backward stochastic differential equations following the point of view of Tevzadze.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Touzi:Optimal Stochastic Control, Stoch (eng)
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Edité par
Springer New York Okt 2014, 2014
ISBN 10 : 1493900420
ISBN 13 : 9781493900428
Neuf
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case. 224 pp. Englisch. N° de réf. du vendeur 9781493900428
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Edité par
Springer New York, 2014
ISBN 10 : 1493900420
ISBN 13 : 9781493900428
Neuf
Couverture souple
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides a self-contained presentation of the recent developments in Stochastic target problems which cannot be found in any other monographApproaches quadratic backward stochastic differential equations following the point of view of Tevzadze and. N° de réf. du vendeur 4213632
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
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Taschenbuch. Etat : Neu. Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE | Nizar Touzi | Taschenbuch | x | Englisch | 2014 | Springer US | EAN 9781493900428 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu Print on Demand. N° de réf. du vendeur 105360728
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Edité par
Springer New York, Springer US Okt 2014, 2014
ISBN 10 : 1493900420
ISBN 13 : 9781493900428
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Neuware -This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the secondorder extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.¿Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 224 pp. Englisch. N° de réf. du vendeur 9781493900428
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Edité par
Springer New York, Springer US, 2014
ISBN 10 : 1493900420
ISBN 13 : 9781493900428
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the secondorder extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case. N° de réf. du vendeur 9781493900428
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Fields Institute Monographs, 29)
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Springer, 2014
ISBN 10 : 1493900420
ISBN 13 : 9781493900428
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Fields Institute Monographs)
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Paperback. Etat : Brand New. 224 pages. 9.25x6.10x0.55 inches. In Stock. N° de réf. du vendeur zk1493900420
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