Stochastic control problems, viscosity solutions and application to finance
Author:   Nizar Touzi
Publisher:   Birkhauser Verlag AG
ISBN:  

9788876421365


Pages:   62
Publication Date:   01 October 2002
Format:   Paperback
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

Our Price $79.07 Quantity:  
Add to Cart

Share |

Stochastic control problems, viscosity solutions and application to finance


Add your own review!

Overview

These notes have been prepared for the Special Research Semester on Financial Markets, which was held in Pisa, from April 29 to July 15, 2002. The general topics of these lectures is the Hamilton-Jacobi-Bellman approach to stochastic control problems, with applications to finance. Some of the topics treated are: the classical standard class of stochastic control problems, the assosiated dynamic programming principle, the HJB equation, the classical Merton portfolio selection problem, the law of iterated logarithm for double stochastic integrals, the theory of viscosity solutions, singular control problems, the face-lifting phenomenon.

Full Product Details

Author:   Nizar Touzi
Publisher:   Birkhauser Verlag AG
Imprint:   Scuola Normale Superiore
Dimensions:   Width: 17.00cm , Height: 0.80cm , Length: 24.00cm
Weight:   0.181kg
ISBN:  

9788876421365


ISBN 10:   887642136
Pages:   62
Publication Date:   01 October 2002
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

Table of Contents

Reviews

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions
Latest Reading Guide

MRG2025CC

 

Shopping Cart
Your cart is empty
 Shopping cart
Mailing List

 

Sign up now