Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

by Nizar Touzi
5/5

AiThis book collects some recent developments in stochastic control theory with applications to financial mathematics.

We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle.

First published
2013
Publishers
Springer New York·Imprint: Springer
Language
English

Books

Similar books