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Titlebook: Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE; Nizar Touzi Book 2013 Springer Science+Business Media New York 2

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發(fā)表于 2025-3-21 17:57:28 | 只看該作者 |倒序?yàn)g覽 |閱讀模式
書(shū)目名稱Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
編輯Nizar Touzi
視頻videohttp://file.papertrans.cn/703/702926/702926.mp4
概述Provides a self-contained presentation of the recent developments in Stochastic target problems which cannot be found in any other monograph.Approaches quadratic backward stochastic differential equat
叢書(shū)名稱Fields Institute Monographs
圖書(shū)封面Titlebook: Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE; Nizar Touzi Book 2013 Springer Science+Business Media New York 2
描述This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the secondorder extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward st
出版日期Book 2013
關(guān)鍵詞backwards stochastic differential equations; dynamic programming; financial mathematics; stochastic con
版次1
doihttps://doi.org/10.1007/978-1-4614-4286-8
isbn_softcover978-1-4939-0042-8
isbn_ebook978-1-4614-4286-8Series ISSN 1069-5273 Series E-ISSN 2194-3079
issn_series 1069-5273
copyrightSpringer Science+Business Media New York 2013
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發(fā)表于 2025-3-22 00:15:22 | 只看該作者
Backward SDEs and Stochastic Control,ramework of the previous chapters and the corresponding PDEs will be obtained under a specific construction. From this viewpoint, BSDEs can be viewed as the counterpart of PDEs in the non-Markov framework.
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1069-5273 .Approaches quadratic backward stochastic differential equatThis book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming
6#
發(fā)表于 2025-3-22 16:00:28 | 只看該作者
Introduction to Finite Differences Methods,t most 3 spatial dimensions. One of their merits is to be quite simple and easy to implement. Also, as shown in the previous chapter, they can also be combined with Monte Carlo methods to solve nonlinear parabolic PDEs.
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Nizar Touzinty.Includes supplementary material: As a branch of mathematics that studies the behavior of random, fuzzy and rough events, uncertainty theory is the generic name of probability theory, credibility theory, and trust theory. The main purpose of this book is to provide axiomatic foundations of uncert
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Nizar Touziry material: Water is the most important element for a life. Scientists have been doing thorough investigations on the properties of water while engineers have - ploited water in various industrial processes that aim at better optimization of the quality of industrial products. The knowledge of the
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