A Model for Optimally Advertising and Launching a Product
Mathematics of Operations Research
On Optimal Harvesting Problems in Random Environments
SIAM Journal on Control and Optimization
Optimal Portfolio Liquidation with Execution Cost and Risk
SIAM Journal on Financial Mathematics
Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information
Computational Economics
Sequential Sampling with Economics of Selection Procedures
Management Science
Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems
SIAM Journal on Numerical Analysis
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
SIAM Journal on Financial Mathematics
Stochastic optimal control for a general class of dynamic resource allocation problems
ACM SIGMETRICS Performance Evaluation Review - Special issue on the 31st international symposium on computer performance, modeling, measurements and evaluation (IFIPWG 7.3 Performance 2013)
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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. 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. 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. 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.