This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.

The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Interfaces are geometrical objects modelling free or moving boundaries and arise in a wide range of phase change problems in physical and biological sciences, particularly in material technology and in dynamics of patterns. Especially in the end of last century, the study of evolving interfaces in a number of applied fields becomes increasingly important, so that the possibility of describing their dynamics through suitable mathematical models became one of the most challenging and interdisciplinary problems in applied mathematics. The 2000 Madeira school reported on mathematical advances in some theoretical, modelling and numerical issues concerned with dynamics of interfaces and free boundaries. Specifically, the five courses dealt with an assessment of recent results on the optimal transportation problem, the numerical approximation of moving fronts evolving by mean curvature, the dynamics of patterns and interfaces in some reaction-diffusion systems with chemical-biological applications, evolutionary free boundary problems of parabolic type or for Navier-Stokes equations, and a variational approach to evolution problems for the Ginzburg-Landau functional.

This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.