Applications of Stochastic Optimal Control to Economics and Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Applications of Stochastic Optimal Control to Economics and Finance write by Salvatore Federico. This book was released on 2020-06-23. Applications of Stochastic Optimal Control to Economics and Finance available in PDF, EPUB and Kindle. In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.
Continuous-time Stochastic Control and Optimization with Financial Applications
Continuous-time Stochastic Control and Optimization with Financial Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Continuous-time Stochastic Control and Optimization with Financial Applications write by Huyên Pham. This book was released on 2009-05-28. Continuous-time Stochastic Control and Optimization with Financial Applications available in PDF, EPUB and Kindle. Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
Optimal Control and Dynamic Games
Optimal Control and Dynamic Games - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Optimal Control and Dynamic Games write by Christophe Deissenberg. This book was released on 2005-11-03. Optimal Control and Dynamic Games available in PDF, EPUB and Kindle. Optimal Control and Dynamic Games has been edited to honor the outstanding contributions of Professor Suresh Sethi in the fields of Applied Optimal Control. Professor Sethi is internationally one of the foremost experts in this field. He is, among others, co-author of the popular textbook "Sethi and Thompson: Optimal Control Theory: Applications to Management Science and Economics". The book consists of a collection of essays by some of the best known scientists in the field, covering diverse aspects of applications of optimal control and dynamic games to problems in Finance, Management Science, Economics, and Operations Research. In doing so, it provides both a state-of-the-art overview over recent developments in the field, and a reference work covering the wide variety of contemporary questions that can be addressed with optimal control tools, and demonstrates the fruitfulness of the methodology.
Stochastic Optimal Control and the U.S. Financial Debt Crisis
Stochastic Optimal Control and the U.S. Financial Debt Crisis - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Optimal Control and the U.S. Financial Debt Crisis write by Jerome L. Stein. This book was released on 2012-03-30. Stochastic Optimal Control and the U.S. Financial Debt Crisis available in PDF, EPUB and Kindle. Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.
Stochastic Optimal Control in Infinite Dimension
Stochastic Optimal Control in Infinite Dimension - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Optimal Control in Infinite Dimension write by Giorgio Fabbri. This book was released on 2017-06-22. Stochastic Optimal Control in Infinite Dimension available in PDF, EPUB and Kindle. Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.
