Overview
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 stochastic differential equations, and their extensions to the quadratic case.
Full Product Details
Author: Nizar Touzi
Publisher: Springer-Verlag New York Inc.
Imprint: Springer-Verlag New York Inc.
Edition: 2013 ed.
Volume: 29
Dimensions:
Width: 15.50cm
, Height: 1.20cm
, Length: 23.50cm
Weight: 0.454kg
ISBN: 9781493900428
ISBN 10: 1493900420
Pages: 214
Publication Date: 15 October 2014
Audience:
College/higher education
,
Professional and scholarly
,
Postgraduate, Research & Scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
“This is an excellent book on the topic of Stochastic Control Problems (SCP). The author transformed his notes for a graduate course at the Field Institute into a volume that will serve also as a good reference in the area. … The author has chosen the framework of diffusions, which makes the exposition more friendly and accessible to a larger audience, in particular for those who want to learn this topic.” (Jaime San Martín, Bulletin of the American Mathematical Society, Vol. 54 (2), April, 2017)
This is an excellent book on the topic of Stochastic Control Problems (SCP). The author transformed his notes for a graduate course at the Field Institute into a volume that will serve also as a good reference in the area. ... The author has chosen the framework of diffusions, which makes the exposition more friendly and accessible to a larger audience, in particular for those who want to learn this topic. (Jaime San Martin, Bulletin of the American Mathematical Society, Vol. 54 (2), April, 2017)
