Stochastic Optimal Control in Finance PDF
Mete H. SonerSfortunatamente, oggi, domenica, 26 agosto 2020, la descrizione del libro Stochastic Optimal Control in Finance non è disponibile su sito web. Ci scusiamo.
On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume 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.
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Note correnti
Keywords: Stochastic optimal control; Debt; International finance; Vulnerability to external shocks;. Sustainable current account deficits. 1. Different approaches ...
19 Dec 2016 ... In the financial engineering field, many problems can be formulated as stochastic control problems. A unique feature of the stochastic control ...
This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth, and current account balances in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and state of the art applied mathematics. From the economic theory and the mathematics of stochastic optimal control, benchmarks are I have co-authored a book, with Wendell Fleming, on viscosity solutions and stochastic control; Controlled Markov Processes and Viscosity Solutions, Springer-Verlag, 1993 (second edition in 2006), and authored or co-authored several articles on nonlinear partial differential equations, viscosity solutions, stochastic optimal control and mathematical finance.
stochastic control and optimal stopping problems. The remaining part of the lectures focus on the more recent literature on stochastic control, namely stochastic target problems. These problems are moti-vated by the superhedging problem in nancial mathematics. Various extensions have been studied in … Stochastic Optimal Control in Finance è un libro di Soner Mete H. pubblicato da Scuola Normale Superiore (EN) nella collana Cattedra galileiana - ISBN: 9788876421396
Classical approach to stochastic control: Show if possible the existence of a smooth solution to HJB, or even better obtain an explicit solution Veri cation step: prove that this smooth solution to HJB is the value function of the stochastic control problem, and obtain as a byproduct the optimal control. Remark. This article is concerned with a risk-sensitive stochastic optimal control problem motivated by a kind of optimal portfolio choice problem in the financial market. The maximum principle for this kind of problem is obtained, which is similar in form to its risk-neutral counterpart.