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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Fields Institute Monographs)
Nizar Touzi
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Description for Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Fields Institute Monographs)
Hardcover. 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. Series: Fields Institute Monographs. Num Pages: 214 pages, biography. BIC Classification: PBKJ; PBKQ; PBT; TJFM. Category: (P) Professional & Vocational. Dimension: 240 x 164 x 19. Weight in Grams: 486.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2012
Publisher
Springer
Number of pages
206
Condition
New
Series
Fields Institute Monographs
Number of Pages
214
Place of Publication
New York, NY, United States
ISBN
9781461442851
SKU
V9781461442851
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Fields Institute Monographs)
“This is an excellent book on the topic of Stochastic Control Problems (SCP). The author transformed his notes for a graduate course at the Field Institute into a volume that will serve also as a good reference in the area. … The author has chosen the framework of diffusions, which makes the exposition more friendly and accessible to a larger ... Read more