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Optimal stochastic control, stochastic target problems, and backward SDE / Nizar Touzi.

By: Contributor(s): Material type: TextTextSeries: Fields Institute monographs ; v 29.Publication details: New York : Springer, 2013.Description: x, 214 p. ; 24 cmISBN:
  • 9781461442851 (alk. paper)
Subject(s): DDC classification:
  • 519.23 23 T736
Contents:
1. Introduction-- 2. Conditional expectation and linear parabolic PDEs -- 3. Stochastic control and dynamic programming -- 4. Optimal stopping and dynamic programming -- 5. Solving control problems by verification -- 6. Introduction to viscosity solutions -- 7. Dynamic programming equation in the viscosity sense -- 8. Stochastic target problems -- 9. Second order stochastic target problems -- 10. Backward SDEs and stochastic control -- 11. Quadratic backward SDEs -- 12. Probabilistic numerical methods for nonlinear PDEs -- 13. Introduction to finite differences methods-- References.
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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 519.23 T736 (Browse shelf(Opens below)) Available 135952
Total holds: 0

With chapter 13 by Agnes Tourin.

Includes bibliographical references (p. 213-214).

1. Introduction--
2. Conditional expectation and linear parabolic PDEs --
3. Stochastic control and dynamic programming --
4. Optimal stopping and dynamic programming --
5. Solving control problems by verification --
6. Introduction to viscosity solutions --
7. Dynamic programming equation in the viscosity sense --
8. Stochastic target problems --
9. Second order stochastic target problems --
10. Backward SDEs and stochastic control --
11. Quadratic backward SDEs --
12. Probabilistic numerical methods for nonlinear PDEs --
13. Introduction to finite differences methods--
References.

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.

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