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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stochastic Control Problems, Viscosity Solutions and Application to Finance

Stochastic Control Problems, Viscosity Solutions and Application to Finance

Touzi, Nizar

Paperback

Series: Publications of the Scuola Normale Superiore

CalculusGeneral Mathematics

Currently unavailable to order

ISBN10: 887642136X
ISBN13: 9788876421365
Publisher: Edizioni Della Normale
Published: Oct 1 2002
Pages: 62
Weight: 0.40
Height: 0.30 Width: 6.50 Depth: 9.20
Language: English
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.

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