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Item Details
| Title:
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STOCHASTIC OPTIMAL CONTROL IN FINANCE
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| By: |
Mete Soner |
| Format: |
Paperback |
| List price:
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£15.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
8876421394 |
| ISBN 13: |
9788876421396 |
| Publisher: |
BIRKHAUSER VERLAG AG |
| Pub. date: |
1 October, 2005 |
| Series: |
Publications of the Scuola Normale Superiore / Crm Series |
| Pages: |
56 |
| Description: |
Features the extended version of the Cattedra Galileiana the author gave in April 2003 in Scuola Normale, Pisa. This title gives an introduction to stochastic optimal control and the dynamic programming approach to control, which is done through several important examples that arise in mathematical finance and economics. |
| Synopsis: |
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. |
| Illustrations: |
bibliography |
| Publication: |
Italy |
| Imprint: |
Scuola Normale Superiore |
| Returns: |
Returnable |
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