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Stochastic control problems, viscosity solutions and application to finance

Language EnglishEnglish
Book Paperback
Book Stochastic control problems, viscosity solutions and application to finance Nizar Touzi
Libristo code: 01967702
Publishers Birkhauser Verlag AG, October 2002
These notes have been prepared for the Special Research Semester on Financial Markets, which was hel... Full description
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These notes have been prepared for the Special Research Semester on Financial Markets, which was held in Pisa, from April 29 to July 15, 2002. The general topics of these lectures is the Hamilton-Jacobi-Bellman approach to stochastic control problems, with applications to finance. Some of the topics treated are: the classical standard class of stochastic control problems, the assosiated dynamic programming principle, the HJB equation, the classical Merton portfolio selection problem, the law of iterated logarithm for double stochastic integrals, the theory of viscosity solutions, singular control problems, the face-lifting phenomenon.

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About the book

Full name Stochastic control problems, viscosity solutions and application to finance
Author Nizar Touzi
Language English
Binding Book - Paperback
Date of issue 2002
Number of pages 62
EAN 9788876421365
ISBN 887642136X
Libristo code 01967702
Publishers Birkhauser Verlag AG
Weight 170
Dimensions 240 x 171 x 6

Categories

Mathematics & Science > Mathematics > Calculus & mathematical analysis > Calculus of variations
Mathematics & Science > Mathematics > Optimization > Linear programming
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