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 equationsstochastic maximum principleconvex dualityviscosity solutionsmathematical financeoptimal stochastic control

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)

Related Items (5)

Optimal securitization of credit portfolios via impulse control ⋮ Shadow price approximation for the fractional Black Scholes model ⋮ First and second order necessary conditions for stochastic optimal control problems ⋮ Optimal proportional reinsurance policies for stochastic models ⋮ Optimal strategies in a risky debt context

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