Game Theory

Continuous-time Stochastic Control and Optimization with by Huyên Pham

By Huyên Pham

Stochastic optimization difficulties come up in decision-making difficulties less than uncertainty, and locate a number of functions in economics and finance. nevertheless, difficulties in finance have lately resulted in new advancements within the idea of stochastic keep watch over. This quantity presents a scientific remedy of stochastic optimization difficulties utilized to finance by means of offering different latest equipment: dynamic programming, viscosity recommendations, backward stochastic differential equations, and martingale duality tools. the idea is mentioned within the context of contemporary advancements during this box, with entire and certain proofs, and is illustrated by way of concrete examples from the realm of finance: portfolio allocation, alternative hedging, genuine innovations, optimum funding, and so on. This publication is directed in the direction of graduate scholars and researchers in mathematical finance, and also will profit utilized mathematicians drawn to monetary functions and practitioners wishing to understand extra concerning the use of stochastic optimization tools in finance.

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