Last edited by Tygotaxe
Saturday, February 15, 2020 | History

3 edition of Continuous-time stochastic control and optimization with financial applications found in the catalog.

Continuous-time stochastic control and optimization with financial applications

  • 73 Want to read
  • 22 Currently reading

Published by Springer in Berlin .
Written in English

    Subjects:
  • Stochastic control theory,
  • Business mathematics,
  • Mathematical optimization

  • Edition Notes

    Includes bibliographical references(p.223-229) and index.

    StatementHuyên Pham.
    SeriesStochastic modelling and applied probability -- 61, Stochastic modelling and applied probability -- 61.
    Classifications
    LC ClassificationsQA402.37 .P43 2009
    The Physical Object
    Paginationxvii, 232p. ;
    Number of Pages232
    ID Numbers
    Open LibraryOL23977904M
    ISBN 109783540894995, 9783540895008
    LC Control Number2009926070

    This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. While the tools of optimal control of stochastic differential systems are taught in many graduate programs in applied mathematics and operations research, I was intrigued by the fact that game theory, and especially the theory of stochastic differential games, are rarely taught in these programs. The risk premium is positive for jump size risk and negative for jump time risk, while the total jump risk premium is positive.

    In the third chapter part of this chapter has been published as Song in Journal of Econometrics, This motivates me to propose a separate inferential test procedure to explore the sources of rejection when a parametric form is rejected. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. It is divided into four chapters. Consequently, my test procedure covers both univariate and multivariate diffusion models in a unified framework and is particularly convenient for the multivariate case.

    The infinitesimal operator of the diffusion process enjoys the nice property of being a closed-form function of drift and diffusion terms. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.


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Continuous-time stochastic control and optimization with financial applications book

Then an empirical likelihood type estimator is constructed by a kernel smoothing approach.

A Stochastic Model for Order Book Dynamics

Consequently, there is a strong need for convenient econometric methodologies designed for continuous time mod- els given discrete sampled data. In the fourth chapter, "Estimating Semi-Parametric Diffusion Models with Unrestricted Volatility via Infinitesimal Operator", two generalized method of moments estimators are proposed for the drift parameters in both univariate and multivariate semi-parametric diffusion models with unrestricted volatility based on the infinitesimal operator.

This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods.

Jump risk premiums lead to flexible time-varying market prices of risks without restricting time variations in conditional volatilities. However, data are always recorded at discrete points in time, e. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions.

The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.

Continuous-time Stochastic Control and Optimization with Financial Applications Pham, Huyen Artikelomschrijving Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance.

Furthermore, it is equivalent to the transition density in characterizing the complete dynamics of the processes. A singular perturbation approach. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods.

It is divided into four chapters. Nowadays, they are widely used in modeling dynamics of, for instance, interest rates, stock prices, exchange rates and option prices. The course then takes up the Ito integral in earnest.

The final prices may differ from the prices shown due to specifics of VAT rules About this Textbook Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance.

This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance. Examples in finance.

In the third chapter part of this chapter has been published as Song in Journal of Econometrics, While optimal control is taught in many graduate programs in applied mathematics and operations research, the author was intrigued by the lack of coverage of the theory of stochastic differential games.

On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.

It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions.

This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

For example, estimators obtained by applying discrete time econometric methods to the discretized version of continuous time models are not consistent for a fixed sampling interval.

This poses a serious impediment for the implementation of likelihood procedures. More seriously, although the maximum likelihood method is a very appealing econometric procedure due to its nice properties like efficiency, the transition density and hence likelihood function of most continuous time Markov models have no analytic expressions.

This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion.

Enterprise Software Back cover copy Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance.“This book is the expanded second edition of ‘Continuous-time Markov chains and applications.

A singular perturbation approach.’ which appeared The book remains clearly of interest to researchers in stochastic control, operation research, manufacturing system, engineering, economics and applied mathematics.” (Michael Högele.

Stochastic optimization problems. Examples in finance

In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications.

Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on.

Stochastic Mechanics Random Media Signal Processing and Image Synthesis Mathematical Economics Stochastic Optimization and Finance Stochastic Control Applications of Mathematics Stochastic Modelling and Applied Probability 45 Edited by I.

Karatzas M. Yor Advisory Board P. Brémaud E. Carlen W. Fleming D. Geman G. Grimmett G. Papanicolaou. May 02,  · Buy Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability) Softcover reprint of hardcover 1st ed.

by Huyên Pham (ISBN: ) from Amazon's Book Store. Reviews: 1. Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance.

On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. Koop Continuous-time Stochastic Control and Optimization with Financial Applications van Pham, Huyen met ISBN Gratis verzending, Slim studeren.

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