Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications
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Published By Springer Berlin Heidelberg

9783540894995, 9783540895008

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Optimal switching and free boundary problems

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications ◽

10.1007/978-3-540-89500-8_5 ◽

2009 ◽

pp. 95-137 ◽

Cited By ~ 1

Author(s):

Huyên Pham

Keyword(s):

Free Boundary ◽

Free Boundary Problems ◽

Optimal Switching ◽

Boundary Problems

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Backward stochastic differential equations and optimal control

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications ◽

10.1007/978-3-540-89500-8_6 ◽

2009 ◽

pp. 139-169 ◽

Cited By ~ 1

Author(s):

Huyên Pham

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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The viscosity solutions approach to stochastic control problems

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications ◽

10.1007/978-3-540-89500-8_4 ◽

2009 ◽

pp. 61-94 ◽

Cited By ~ 23

Author(s):

Huyên Pham

Keyword(s):

Stochastic Control ◽

Viscosity Solutions ◽

Control Problems ◽

Stochastic Control Problems

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The classical PDE approach to dynamic programming

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications ◽

10.1007/978-3-540-89500-8_3 ◽

2009 ◽

pp. 37-60

Author(s):

Huyên Pham

Keyword(s):

Dynamic Programming

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Stochastic optimization problems. Examples in finance

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications ◽

10.1007/978-3-540-89500-8_2 ◽

2009 ◽

pp. 27-35

Author(s):

Huyên Pham

Keyword(s):

Stochastic Optimization ◽

Optimization Problems

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Martingale and convex duality methods

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications ◽

10.1007/978-3-540-89500-8_7 ◽

2009 ◽

pp. 171-212

Author(s):

Huyên Pham

Keyword(s):

Convex Duality ◽

Duality Methods

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Some elements of stochastic analysis

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications ◽

10.1007/978-3-540-89500-8_1 ◽

2009 ◽

pp. 1-26 ◽

Cited By ~ 1

Author(s):

Huyên Pham

Keyword(s):

Stochastic Analysis

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Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial ApplicationsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer Berlin Heidelberg

Optimal switching and free boundary problems

Backward stochastic differential equations and optimal control

The viscosity solutions approach to stochastic control problems

The classical PDE approach to dynamic programming

Stochastic optimization problems. Examples in finance

Martingale and convex duality methods

Some elements of stochastic analysis

Stochastic Modelling and Applied Probability - Continuous-time Stochastic Control and Optimization with Financial Applications
Latest Publications