Titlebook: On Stochastic Optimization Problems and an Application in Finance; Josef Anton Strini Book 2019 The Editor(s) (if applicable) and The Auth

Washington

書目名稱On Stochastic Optimization Problems and an Application in Finance影響因子(影響力)




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書目名稱On Stochastic Optimization Problems and an Application in Finance讀者反饋




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Book 2019ds the present discourse by the formal derivation of the Hamilton-Jacobi-Bellman equation and by examining the verification step carefully. Finally, the treatment is completed by solving the problem numerically..

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On Stochastic Optimization Problems and an Application in Finance978-3-658-25691-3Series ISSN 2625-3577 Series E-ISSN 2625-3615

Extort

Preliminaries,d investment” authored by Julien Hugonnier, Semyon Malamud and Erwan Morellec [6]. In particular for the considered problem, we want to provide the underlying theory about stochastic optimal control, extend and discuss the existing material in the paper mentioned about the theoretical solution and finally solve it numerically.

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