Continuous-time Stochastic Control and Optimization with Financial Applications - Paperback - 2010

This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.
Year of publication: 2010
Pagination: 254 pages, black & white illustrations
Format: Paperback
Serie: Stochastic Modelling and Applied Probability