Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

種類:

電子ブック

責任表示:

by Nizar Touzi

出版情報:

New York, NY : Springer New York : Imprint: Springer, 2013

著者名:

シリーズ名:

Fields Institute Monographs ; 29

ISBN:

9781461442868 [1461442869]

ローカル注記:

学内専用E-BOOKS (local access only)

オンライン

http://dx.doi.org/10.1007/978-1-4614-4286-8

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子書誌情報

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詳細

主題:

Calculus of Variations and Optimal Control; Optimization; Mathematics; Partial Differential Equations; Probability Theory and Stochastic Processes; Quantitative Finance

分類・件名:

DC23 : 519
LCSH : Mathematics
LCSH : Differential equations, partial
LCSH : Finance
LCSH : Mathematical optimization
LCSH : Distribution (Probability theory)
FREE : Mathematics
FREE : Quantitative Finance
FREE : Probability Theory and Stochastic Processes
FREE : Partial Differential Equations
FREE : Calculus of Variations and Optimal Control; Optimization

形態:

X, 214 p. 1 illus : digital

目次情報:

Preface
1. Conditional Expectation and Linear Parabolic PDEs
2. Stochastic Control and Dynamic Programming
3. Optimal Stopping and Dynamic Programming
4. Solving Control Problems by Verification
5. Introduction to Viscosity Solutions
6. Dynamic Programming Equation in the Viscosity Sense
7. Stochastic Target Problems
8. Second Order Stochastic Target Problems
9. Backward SDEs and Stochastic Control
10. Quadratic Backward SDEs
11. Probabilistic Numerical Methods for Nonlinear PDEs
12. Introduction to Finite Differences Methods
References

Preface
1. Conditional Expectation and Linear Parabolic PDEs
2. Stochastic Control and Dynamic Programming
3. Optimal Stopping and Dynamic Programming
4. Solving Control Problems by Verification
5. Introduction to Viscosity Solutions

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書誌ID:

KB00010026

内容紹介

目次情報

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