Continuous-time stochastic control and optimization with financial applications

DOI10.1007/978-3-540-89500-8zbMath1165.93039MaRDI QIDQ1018984

Huyên Pham

Publication date: 26 May 2009

Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-89500-8

Mathematics Subject Classification ID

60-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

93-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory

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