optimal stochastic control target di touzi nizar (23 risultati)

Condizione: New.

Condizione: As New. Unread book in perfect condition.

Hardcover. Condizione: new. Hardcover. 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. This book collects some recent developments in stochastic control theory with applications to financial mathematics. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Buch. Condizione: Neu. Neuware -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 second order 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. 224 pp. Englisch.

Condizione: New.

Condizione: As New. Unread book in perfect condition.

Condizione: New.

Condizione: New. This book collects recent developments in stochastic control theory with applications to financial mathematics. It approaches quadratic backward stochastic differential equations following the point of view of Tevzadze. Series: Fields Institute Monographs. Num Pages: 214 pages, biography. BIC Classification: PBKJ; PBKQ; PBT; TJFM. Category: (P) Professional & Vocational. Dimension: 240 x 164 x 19. Weight in Grams: 486. . 2012. 2013th Edition. Hardcover. . . . .

Buch. Condizione: Neu. Neuware -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.¿Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 224 pp. Englisch.

Taschenbuch. Condizione: Neu. Neuware -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.¿Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 224 pp. Englisch.

Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.

Buch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.

Hardcover. Condizione: Brand New. 2013 edition. 224 pages. 9.50x6.25x0.75 inches. In Stock.

Condizione: New. This book collects recent developments in stochastic control theory with applications to financial mathematics. It approaches quadratic backward stochastic differential equations following the point of view of Tevzadze. Series: Fields Institute Monographs. Num Pages: 214 pages, biography. BIC Classification: PBKJ; PBKQ; PBT; TJFM. Category: (P) Professional & Vocational. Dimension: 240 x 164 x 19. Weight in Grams: 486. . 2012. 2013th Edition. Hardcover. . . . . Books ship from the US and Ireland.

Paperback. Condizione: Like New. Like New. book.

Hardcover. Condizione: Like New. Like New. book.

Paperback. Condizione: Brand New. 224 pages. 9.25x6.10x0.55 inches. In Stock.

Hardcover. Condizione: new. Hardcover. 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. This book collects some recent developments in stochastic control theory with applications to financial mathematics. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 second order 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. 224 pp. Englisch.

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides a self-contained presentation of the recent developments in Stochastic target problems which cannot be found in any other monographApproaches quadratic backward stochastic differential equations following the point of view of Tevzadze and.

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides a self-contained presentation of the recent developments in Stochastic target problems which cannot be found in any other monographApproaches quadratic backward stochastic differential equations following the point of view of Tevzadze and.

Condizione: New. Print on Demand.

Condizione: New. PRINT ON DEMAND.