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Author:   Huyên Pham ,  Huyaan Pham ,  Huyen Pham ,  Huy N Pham
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2007 ed.
Volume:   61
Dimensions:   Width: 15.50cm , Height: 1.10cm , Length: 23.50cm
Weight:   0.660kg
ISBN:  

9783540737360

ISBN 10:   3540737367
Pages:   188
Publication Date:   06 September 2007
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Language:   French

Table of Contents

Quelques éléments d'analyse stochastique.- Probl`emes d'optimisation stochastique. Exemples en finance.- Approche EDP classique de la programmation dynamique.- Approche des équations de Bellman par les solutions de viscosité.- Méthodes d'équations différentielles stochastiques rétrogrades.- Méthodes martingales de dualité convexe.

Reviews

From the reviews: This book concerns postgraduate studies in stochastic analysis, especially optimal stochastic control. The presentation is pedagogic and progressive. It stresses the links between stochastic differential equations (SDEs), dynamic programming and viscosity solutions. There are six chapters. The references are numerous (61) and widely commented on at the end of each chapter. An alphabetic index ends the book. (Monique Pontier, Mathematical reviews, Issue 2008 g) The book is an original presentation of classical and recent techniques for stochastic control problems and their applications in mathematical finance. I consider this book a very useful tool for students and researchers who want to reach rapidly an adequate knowledge of modern techniques in stochastic control to be able to enter the recent literature concerning the applications of stochastic control methods to mathematical finance. (Giovanni Di Masi, Zentralblatt MATH, Vol. 1143, 2008)

From the reviews: This book concerns postgraduate studies in stochastic analysis, especially optimal stochastic control. The presentation is pedagogic and progressive. It stresses the links between stochastic differential equations (SDEs), dynamic programming and viscosity solutions. There are six chapters. The references are numerous (61) and widely commented on at the end of each chapter. An alphabetic index ends the book. (Monique Pontier, Mathematical reviews, Issue 2008 g) The book is an original presentation of classical and recent techniques for stochastic control problems and their applications in mathematical finance. I consider this book a very useful tool for students and researchers who want to reach rapidly an adequate knowledge of modern techniques in stochastic control to be able to enter the recent literature concerning the applications of stochastic control methods to mathematical finance. (Giovanni Di Masi, Zentralblatt MATH, Vol. 1143, 2008)

From the reviews: <p> This book concerns postgraduate studies in stochastic analysis, especially optimal stochastic control. The presentation is pedagogic and progressive. It stresses the links between stochastic differential equations (SDEs), dynamic programming and viscosity solutions. a ] There are six chapters. a ] The references are numerous (61) and widely commented on at the end of each chapter. An alphabetic index ends the book. (Monique Pontier, Mathematical reviews, Issue 2008 g)

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