Overview
- Provides a self-contained presentation of the recent developments in Stochastic target problems which cannot be found in any other monograph
- Approaches quadratic backward stochastic differential equations following the point of view of Tevzadze and presented in a way to maximize the ease of understanding
- Contains relevant examples from finance, including the Nash equilibrium example?
Part of the book series: Fields Institute Monographs (FIM, volume 29)
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Table of contents (13 chapters)
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Bibliographic Information
Book Title: Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Authors: Nizar Touzi
Series Title: Fields Institute Monographs
DOI: https://doi.org/10.1007/978-1-4614-4286-8
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media New York 2013
Hardcover ISBN: 978-1-4614-4285-1Published: 27 September 2012
Softcover ISBN: 978-1-4939-0042-8Published: 15 October 2014
eBook ISBN: 978-1-4614-4286-8Published: 25 September 2012
Series ISSN: 1069-5273
Series E-ISSN: 2194-3079
Edition Number: 1
Number of Pages: X, 214
Topics: Quantitative Finance, Probability Theory and Stochastic Processes, Partial Differential Equations, Calculus of Variations and Optimal Control; Optimization