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Continuous-Time Stochastic Control And Optimization With Financial Applications
language: english
Publisher:
SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG, June of 2009 ‧
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SYNOPSIS
This text 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.
DETAILS
| Property | Description |
|---|---|
| ISBN: | 9783540894995 |
| Publisher: | SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG |
| Release Date: | June of 2009 |
| Language: | English |
| Cover: | Hardcover |
| Pages: | 232 |
| Format: | Book |
| Collection: | Stochastic Modelling And Applied Probability |
| Categories: |
Books in English
>
Science
>
Mathematics
|
| EAN: | 9783540894995 |
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