Stochastic optimisation and control applied to finance

zbMath1143.93026MaRDI QIDQ2382317

Huyên Pham

Publication date: 9 October 2007

Published in: Mathématiques \& Applications (Berlin) (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equations; stochastic maximum principle; convex duality; viscosity solutions; mathematical finance; optimal stochastic control

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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