This book collects some recent developments in stochastic control theory with applications to financial mathematics we first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle a special emphasis is put on the regularity. Stochastic control and optimal stopping problems the remaining part of the lectures focus on the more recent literature on stochastic control namely stochastic target problems these problems are moti vated by the superhedging problem in nancial mathematics various extensions have been studied in the literature. The third part presents an overview of backward stochastic differential equations and their extensions to the quadratic case backward stochastic differential equations are intimately related to the stochastic version of pontryagins maximum principle and can be viewed as a strong version of stochastic target problems in the non markov context. Optimal stochastic control stochastic target problems and backward sde fields institute monographs stochastic control duration . Get this from a library optimal stochastic control stochastic target problems and backward sde nizar touzi agns tourin this book collects some recent developments in stochastic control theory with applications to financial mathematics in the first part of the volume standard stochastic control problems are
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