Mete Soner
Stochastic optimal control in finance
Paperback Engels 2005 9788876421396
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
This is the extended version of the Cattedra Galileiana I gave in April 2003 in Scuola Normale, Pisa. In these notes, I give a very quick introduction to stochastic optimal control and the dynamic programming approach to control. This is done through several important examples that arise in mathematical finance and economics. The choice of problems is driven by my own research and the desire to illustrate the use of dynamical programming and viscosity solutions. In particular, a great emphasis is given to the problem of super-replication as it provides a usual application of these methods.
Specificaties
ISBN13:9788876421396
Taal:Engels
Bindwijze:paperback
Aantal pagina's:56
Uitgever:Scuola Normale Superiore
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