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Continuous-time Stochastic Control and Optimization with Financial Applications

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Cover of 'Continuous-time Stochastic Control and Optimization with Financial Applications'

Table of Contents

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    Book Overview
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    Chapter 1 Some elements of stochastic analysis
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    Chapter 2 Stochastic optimization problems. Examples in finance
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    Chapter 3 The classical PDE approach to dynamic programming
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    Chapter 4 The viscosity solutions approach to stochastic control problems
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    Chapter 5 Optimal switching and free boundary problems
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    Chapter 6 Backward stochastic differential equations and optimal control
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    Chapter 7 Martingale and convex duality methods
Attention for Chapter 5: Optimal switching and free boundary problems
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