Optimal stochastic control, stochastic target problems, and backward SDE
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The work Optimal stochastic control, stochastic target problems, and backward SDE represents a distinct intellectual or artistic creation found in University of Missouri Libraries. This resource is a combination of several types including: Work, Language Material, Books.
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Optimal stochastic control, stochastic target problems, and backward SDE
Resource Information
The work Optimal stochastic control, stochastic target problems, and backward SDE represents a distinct intellectual or artistic creation found in University of Missouri Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 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
 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
 Series statement
 Fields Institute Monographs,
 Series volume
 v. 29
Context
Context of Optimal stochastic control, stochastic target problems, and backward SDEWork of
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