Optimisation et contrôle stochastique appliqués à la finance = Optimization and stochastic control applied to finance
Publication year: 2007
ISBN: 978-3-540-73737-7
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The objective and the originality of this book is to present the different aspects and methods used in the resolution of stochastic optimization problems with a view to more specific applications in finance: portfolio management, option hedging, optimal investment. . We have included some recent developments on the subject without seeking a priori the greatest generality. We wanted a gradual exposure of mathematical methods by first presenting the intuitive ideas and then precisely stating the results with full and detailed proofs.
Subject: Mathematics and Statistics / Applications of Mathematics / Systems Theory, Control / Calculus of Variations and Optimal Control / Optimization / Quantitative Finance Probability Theory and Stochastic Processes / Optimisation stochastique / Dualité / Finance / gestion de portefeuille / Optimization / programmation dynamique / équations différentielles stochastique rétrograde / Stochastic optimization / Duality / Finance / portfolio management / optimization / Dynamic programming / Retrograde stochastic differential equations
