Stochastic optimal control in finance
著者
書誌事項
Stochastic optimal control in finance
（Pubblicazioni della Classe di scienze / Scuola Normale Superiore, . Cattedra galileiana）
Scuola Normale Superiore Pubblicazioni della Classe di Scienze, [2005]
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注記
Includes bibliographical refereces
内容説明・目次
内容説明
This is the extended version of the Cattedra Galileiana I gave in April 2003 in Scuola Normale, Pisa. In these notes, I give a very quick introduction to stochastic optimal control and the dynamic programming approach to control. This is done through several important examples that arise in mathematical finance and economics. The choice of problems is driven by my own research and the desire to illustrate the use of dynamical programming and viscosity solutions. In particular, a great emphasis is given to the problem of super-replication as it provides a usual application of these methods.
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