0
Your cart

Your cart is empty

Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations

Buy Now

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Hardcover, 2013 ed.) Loot Price: R4,292
Discovery Miles 42 920
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Hardcover, 2013 ed.): Nizar Touzi

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Hardcover, 2013 ed.)

Nizar Touzi

Series: Fields Institute Monographs, 29

 (sign in to rate)
Loot Price R4,292 Discovery Miles 42 920 | Repayment Terms: R402 pm x 12*

Bookmark and Share

Expected to ship within 10 - 15 working days

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 solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case. "

General

Imprint: Springer-Verlag New York
Country of origin: United States
Series: Fields Institute Monographs, 29
Release date: September 2012
First published: 2013
Authors: Nizar Touzi
Dimensions: 235 x 155 x 19mm (L x W x T)
Format: Hardcover
Pages: 214
Edition: 2013 ed.
ISBN-13: 978-1-4614-4285-1
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations
Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Calculus of variations
Books > Professional & Technical > Electronics & communications engineering > Electronics engineering > Automatic control engineering > General
Promotions
LSN: 1-4614-4285-0
Barcode: 9781461442851

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

You might also like..

Differential Equations with…
Dennis Zill Paperback R1,311 R1,223 Discovery Miles 12 230
Differential Equations with…
Warren Wright, Dennis Zill Paperback  (1)
R1,361 R1,266 Discovery Miles 12 660
Differential Equations with Boundary…
Dennis Zill Paperback R1,331 R1,240 Discovery Miles 12 400
Partial Differential Equations
Osamu Sano Hardcover R2,767 Discovery Miles 27 670
Dissipative Lattice Dynamical Systems
Xiaoying Han, Peter Kloeden Hardcover R3,673 Discovery Miles 36 730
Hormander Operators
Marco Bramanti, Luca Brandolini Hardcover R5,274 Discovery Miles 52 740
Qualitative Theory Of Odes: An…
Henryk Zoladek, Raul Murillo Hardcover R2,641 Discovery Miles 26 410
Extremum Seeking through Delays and PDEs
Tiago Roux Oliveira, Miroslav Krstic Hardcover R3,405 R2,988 Discovery Miles 29 880
Nonlinear Functional Analysis and…
Jesus Garcia-Falset, Khalid Latrach Hardcover R5,282 Discovery Miles 52 820
Schaum's Outline of Differential…
Richard Bronson, Gabriel B Costa Paperback R500 Discovery Miles 5 000
Boundary Elements and other Mesh…
A. H.-D. Cheng, S. Syngellakis Hardcover R3,455 Discovery Miles 34 550
Cross Diffusion Systems - Dynamics…
Dung Le Hardcover R4,735 Discovery Miles 47 350

See more

Partners