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

流出

Some elements of stochastic analysis,n this chapter. We mention among others Dellacherie and Meyer [DM80], Jacod [Jac79], Karatzas and Shreve [KaSh88], Protter [Pro90] or Revuz and Yor [ReY91], from which are quoted most of the results recalled here without proof. The reader is supposed to be familiar with the elementary notion of the

NEXUS

The classical PDE approach to dynamic programming, diffusion and the problem is formulated on finite or infinite horizon. The basic idea of the approach is to consider a family of control problems by varying the initial state values, and to derive some relations between the associated value functions. This principle, called the dynamic programming

GRACE

Foregery

Optimal switching and free boundary problems,newed increasing interest due to its numerous and various applications in economy and finance, in particular for real options. Actually, it provides a suitable modeling framework for the evaluation of optimal investment decisions in capital for firms. Hence, it permits to capture the value of manage

Colonnade

Backward stochastic differential equations and optimal control,ortant field of research due to its connections with stochastic control, mathematical finance, and partial differential equations. BSDEs provide a probabilistic representation of nonlinear PDEs, which extends the famous Feynman-Kac formula for linear PDEs. As a consequence, BSDEs can be used for des

全部逛商店

斜

曲解

Drogenmissbrauch, Obdachlosigkeit, famili?re Gewalt, Umweltzerst?rung, Onlinesucht usw. Keine dieser kollektiven Notlagen – sei sie für die Betroffenen auch noch so bedrückend – erlangt von ?sich aus‘ ?ffentliche Aufmerksamkeit und politische Anerkennung. Vielen durchaus kritisierbaren Lebenslagen

排斥