Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Record no. 95103)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04391nam a22005175i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-1-4614-4286-8 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220082814.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 120925s2013 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781461442868 |
| -- | 978-1-4614-4286-8 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-1-4614-4286-8 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB135-147 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | KF |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT003000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS027000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Touzi, Nizar. |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Nizar Touzi. |
| 264 #1 - | |
| -- | New York, NY : |
| -- | Springer New York : |
| -- | Imprint: Springer, |
| -- | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | X, 214 p. 1 illus. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Fields Institute Monographs, |
| International Standard Serial Number | 1069-5273 ; |
| Volume number/sequential designation | 29 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Preface -- 1. Conditional Expectation and Linear Parabolic PDEs -- 2. Stochastic Control and Dynamic Programming -- 3. Optimal Stopping and Dynamic Programming -- 4. Solving Control Problems by Verification -- 5. Introduction to Viscosity Solutions -- 6. Dynamic Programming Equation in the Viscosity Sense -- 7. Stochastic Target Problems -- 8. Second Order Stochastic Target Problems -- 9. Backward SDEs and Stochastic Control -- 10. Quadratic Backward SDEs -- 11. Probabilistic Numerical Methods for Nonlinear PDEs -- 12. Introduction to Finite Differences Methods -- References. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 non-Markov 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. The book concludes with a review of the numerical approximation techniques for nonlinear partial differential equations based on monotonic schemes methods in the theory of viscosity solutions. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Differential equations, partial. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematical optimization. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Distribution (Probability theory). |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Partial Differential Equations. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Calculus of Variations and Optimal Control; Optimization. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9781461442851 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Fields Institute Monographs, |
| -- | 1069-5273 ; |
| Volume number/sequential designation | 29 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-1-4614-4286-8 |
| 912 ## - | |
| -- | ZDB-2-SMA |
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