Titlebook: Continuous-time Stochastic Control and Optimization with Financial Applications; Huyên Pham Textbook 2009 Springer-Verlag Berlin Heidelber

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https://doi.org/10.1007/978-3-322-97079-4 to the HJB equation. This classical approach to the dynamic programming is called the verification step. We illustrate this method in Section 3.6 by solving three examples in finance. The main drawback of this approach is to suppose the existence of a regular solution to the HJB equation. This is n

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Der Wirtschafts- und Sozialrat, suitable modeling framework for the evaluation of optimal investment decisions in capital for firms. Hence, it permits to capture the value of managerial flexibility to adapt decisions in response to unexpected markets developments, which is a key element in the modern theory of real options.

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Optimal switching and free boundary problems, suitable modeling framework for the evaluation of optimal investment decisions in capital for firms. Hence, it permits to capture the value of managerial flexibility to adapt decisions in response to unexpected markets developments, which is a key element in the modern theory of real options.