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Continuous-Time Stochastic Control And Optimization With Financial Applications

by Huyên Pham
language: english
Publisher: SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG, June of 2009 ‧
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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.

Continuous-Time Stochastic Control And Optimization With Financial Applications

by Huyên Pham

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