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Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability Huyen Pham 2009 edition
Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability
Huyen Pham
This text 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.
256 pages, biography
| Media | Boeken Hardcover Book (Boek met harde rug en kaft) |
| Vrijgegeven | 18 juni 2009 |
| ISBN13 | 9783540894995 |
| Uitgevers | Springer-Verlag Berlin and Heidelberg Gm |
| Pagina's | 232 |
| Afmetingen | 165 × 243 × 20 mm · 544 g |
| Taal en grammatica | Engels |
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