Contract Theory In Continuous Time Models

Author: Jakša Cvitanic
Publisher: Springer Science & Business Media
ISBN: 3642142001
Size: 45.97 MB
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In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications.

Stochastic Optimization In Continuous Time

Author: Fwu-Ranq Chang
Publisher: Cambridge University Press
ISBN: 9781139452229
Size: 66.57 MB
Format: PDF
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First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics.

Stochastic Controls

Author: Jiongmin Yong
Publisher: Springer Science & Business Media
ISBN: 1461214661
Size: 25.77 MB
Format: PDF, Docs
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This is known as a Hamilton-Jacobi-Bellman (HJB) equation.

Optimal Stochastic Control Stochastic Target Problems And Backward Sde

Author: Nizar Touzi
Publisher: Springer Science & Business Media
ISBN: 1461442869
Size: 35.70 MB
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The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.​ This book collects some recent developments in stochastic control theory with applications to financial ...

Mathematical Control Theory And Finance

Author: Andrey Sarychev
Publisher: Springer Science & Business Media
ISBN: 354069532X
Size: 70.99 MB
Format: PDF, ePub, Docs
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This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques.

Continuous Time Markov Chains And Applications

Author: G. George Yin
Publisher: Springer Science & Business Media
ISBN: 1461443466
Size: 44.56 MB
Format: PDF, Kindle
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This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering.