The Resource Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin
Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin
Resource Information
The item Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary

 "This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on regularity issues and, in particular, on the behavior of the value function near the boundary. Then a quick review of the main tools from viscosity solutions allowing one to overcome all regularity problems is provided
 The second part is devoted to the class of stochastic target problems, which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows; namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging
 The third part presents an overview of backward stochastic differential equations and their extensions to the quadratic case. Backward stochastic differential equations are intimately related to the stochastic version of Pontryagin's maximum principle and can be viewed as a strong version of stochastic target problems in the nonMarkov context. The main applications to the hedging problem under market imperfections, the optimal investment problem in the exponential or power expected utility framework, and some recent developments in the context of a Nash equilibrium model for interacting investors, are presented."Pub. desc
 Language
 eng
 Extent
 1 online resource (x, 214 pages).
 Contents

 Backward SDEs and stochastic control
 Quadratic backward SDEs
 Probabilistic numerical methods for nonlinear PDEs
 Introduction to finite differences methods
 Conditional expectation and linear parabolic PDEs
 Stochastic control and dynamic programming
 Optimal stopping and dynamic programming
 Solving control problems by verification
 Introduction to viscosity solutions
 Dynamic programming equation in the viscosity sense
 Stochastic target problems
 Second order stochastic target problems
 Isbn
 9781461442868
 Label
 Optimal stochastic control, stochastic target problems, and backward SDE
 Title
 Optimal stochastic control, stochastic target problems, and backward SDE
 Statement of responsibility
 Nizar Touzi ; with chapter 13 by Agnès Tourin
 Subject

 Differential equations, partial.
 Distribution (Probability theory)
 Electronic books
 Electronic bookss
 Finance.
 MATHEMATICS  Probability & Statistics  General
 Mathematical optimization.
 Mathematics.
 Partial Differential Equations.
 Probability Theory and Stochastic Processes.
 Quantitative Finance.
 Stochastic analysis
 Stochastic analysis
 Stochastic analysis
 Stochastic control theory
 Stochastic control theory
 Stochastic control theory
 Stochastic partial differential equations
 Stochastic partial differential equations
 Stochastic partial differential equations
 Calculus of Variations and Optimal Control; Optimization.
 Language
 eng
 Summary

 "This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on regularity issues and, in particular, on the behavior of the value function near the boundary. Then a quick review of the main tools from viscosity solutions allowing one to overcome all regularity problems is provided
 The second part is devoted to the class of stochastic target problems, which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows; namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging
 The third part presents an overview of backward stochastic differential equations and their extensions to the quadratic case. Backward stochastic differential equations are intimately related to the stochastic version of Pontryagin's maximum principle and can be viewed as a strong version of stochastic target problems in the nonMarkov context. The main applications to the hedging problem under market imperfections, the optimal investment problem in the exponential or power expected utility framework, and some recent developments in the context of a Nash equilibrium model for interacting investors, are presented."Pub. desc
 Cataloging source
 GW5XE
 http://library.link/vocab/creatorName
 Touzi, Nizar
 Dewey number
 519.2/2
 Index
 no index present
 LC call number
 QA274.25
 LC item number
 .T68 2013
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName
 Tourin, Agnès
 Series statement
 Fields Institute Monographs,
 Series volume
 v. 29
 http://library.link/vocab/subjectName

 Stochastic partial differential equations
 Stochastic analysis
 Stochastic control theory
 MATHEMATICS
 Stochastic control theory
 Stochastic analysis
 Stochastic partial differential equations
 Label
 Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Backward SDEs and stochastic control
 Quadratic backward SDEs
 Probabilistic numerical methods for nonlinear PDEs
 Introduction to finite differences methods
 Conditional expectation and linear parabolic PDEs
 Stochastic control and dynamic programming
 Optimal stopping and dynamic programming
 Solving control problems by verification
 Introduction to viscosity solutions
 Dynamic programming equation in the viscosity sense
 Stochastic target problems
 Second order stochastic target problems
 Control code
 812174232
 Dimensions
 unknown
 Extent
 1 online resource (x, 214 pages).
 File format
 unknown
 Form of item
 online
 Isbn
 9781461442868
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)812174232
 Label
 Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Backward SDEs and stochastic control
 Quadratic backward SDEs
 Probabilistic numerical methods for nonlinear PDEs
 Introduction to finite differences methods
 Conditional expectation and linear parabolic PDEs
 Stochastic control and dynamic programming
 Optimal stopping and dynamic programming
 Solving control problems by verification
 Introduction to viscosity solutions
 Dynamic programming equation in the viscosity sense
 Stochastic target problems
 Second order stochastic target problems
 Control code
 812174232
 Dimensions
 unknown
 Extent
 1 online resource (x, 214 pages).
 File format
 unknown
 Form of item
 online
 Isbn
 9781461442868
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)812174232
Subject
 Differential equations, partial.
 Distribution (Probability theory)
 Electronic books
 Electronic bookss
 Finance.
 MATHEMATICS  Probability & Statistics  General
 Mathematical optimization.
 Mathematics.
 Partial Differential Equations.
 Probability Theory and Stochastic Processes.
 Quantitative Finance.
 Stochastic analysis
 Stochastic analysis
 Stochastic analysis
 Stochastic control theory
 Stochastic control theory
 Stochastic control theory
 Stochastic partial differential equations
 Stochastic partial differential equations
 Stochastic partial differential equations
 Calculus of Variations and Optimal Control; Optimization.
Genre
Member of
Library Links
Embed
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Optimalstochasticcontrolstochastictarget/ITjtXYmvEow/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Optimalstochasticcontrolstochastictarget/ITjtXYmvEow/">Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data  Experimental
Data Citation of the Item Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Optimalstochasticcontrolstochastictarget/ITjtXYmvEow/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Optimalstochasticcontrolstochastictarget/ITjtXYmvEow/">Optimal stochastic control, stochastic target problems, and backward SDE, Nizar Touzi ; with chapter 13 by Agnès Tourin</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>