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Item Details
| Title:
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OPTIMAL STOCHASTIC CONTROL, STOCHASTIC TARGET PROBLEMS, AND BACKWARD SDE
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| By: |
Nizar Touzi |
| Format: |
Hardback |
| List price:
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£99.99 |
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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: |
1461442850 |
| ISBN 13: |
9781461442851 |
| Publisher: |
SPRINGER-VERLAG NEW YORK INC. |
| Pub. date: |
25 September, 2012 |
| Edition: |
2013 ed. |
| Series: |
Fields Institute Monographs 29 |
| Pages: |
214 |
| Description: |
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. |
| Synopsis: |
? This book collects some recent developments in stochasticcontrol theory with applications to financial mathematics. We first addressstandard stochastic control problems from the viewpoint of the recentlydeveloped weak dynamic programming principle. A special emphasis is put on theregularity issues and, in particular, on the behavior of the value functionnear the boundary. We then provide a quick review of the main tools fromviscosity solutions which allow to overcome all regularity problems.We next address the class of stochastic target problemswhich extends in a nontrivial way the standard stochastic control problems. Herethe theory of viscosity solutions plays a crucial role in the derivation of thedynamic programming equation as the infinitesimal counterpart of thecorresponding geometric dynamic programming equation. The various developmentsof this theory have been stimulated by applications in finance and by relevantconnections with geometric flows. Namely, the second order extension wasmotivated by illiquidity modeling, and the controlled loss version wasintroduced following the problem of quantile hedging.The third part specializes to an overview of Backwardstochastic differential equations, and their extensions to the quadratic case.? |
| Illustrations: |
X, 214 p. |
| Publication: |
US |
| Imprint: |
Springer-Verlag New York Inc. |
| Returns: |
Returnable |
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