LEADER 00963nam0-22002891i-450- 001 990000154770403321 035 $a000015477 035 $aFED01000015477 035 $a(Aleph)000015477FED01 035 $a000015477 100 $a20011111d--------km-y0itay50------ba 101 0 $aita 105 $ay-------001yy 200 1 $aRiproduzione di un bassorilievo con procedimenti fotogrammetrici$fGino Cassinis. 210 $aRoma$cC. Colombo$d1942 215 $a7 p.$cill.$d29 cm 225 1 $aPubblicazioni dell'Istituto di geodesia, topografia e fotogrammetria. Politecnico di Milano$v53 300 $aEstr. da: Palladio, anno 6., n. 5-6 700 1$aCassinis,$bGino$f<1885-1964>$05435 801 0$aIT$bUNINA$gRICA$2UNIMARC 901 $aBK 912 $a990000154770403321 952 $a13 MISC 534 05$b18622/d$fFINBC 959 $aFINBC 996 $aRiproduzione di un bassorilievo con procedimenti fotogrammetrici$9120347 997 $aUNINA DB $aING01 LEADER 04604nam 2200637 a 450 001 9910438156803321 005 20200520144314.0 010 $a1-283-64027-9 010 $a1-4614-4286-9 024 7 $a10.1007/978-1-4614-4286-8 035 $a(CKB)3400000000086012 035 $a(EBL)1030660 035 $a(OCoLC)812174232 035 $a(SSID)ssj0000767126 035 $a(PQKBManifestationID)11445968 035 $a(PQKBTitleCode)TC0000767126 035 $a(PQKBWorkID)10733102 035 $a(PQKB)11561933 035 $a(DE-He213)978-1-4614-4286-8 035 $a(MiAaPQ)EBC1030660 035 $a(PPN)16829978X 035 $a(EXLCZ)993400000000086012 100 $a20120710d2012 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aOptimal stochastic control, stochastic target problems, and backward SDE /$fNizar Touzi ; with chapter 13 by Agnes Tourin 205 $a1st ed. 2013. 210 $aNew York $cSpringer$d2012 215 $a1 online resource (218 p.) 225 1 $aFields institute monographs,$x1069-5273 ;$vv. 29 300 $aDescription based upon print version of record. 311 $a1-4939-0042-0 311 $a1-4614-4285-0 320 $aIncludes bibliographical references. 327 $aPreface -- 1. Conditional Expectation and Linear Parabolic PDEs -- 2. Stochastic Control and Dynamic Programming -- 3. Optimal Stopping and Dynamic Programming -- 4. Solving Control Problems by Verification -- 5. Introduction to Viscosity Solutions -- 6. Dynamic Programming Equation in the Viscosity Sense -- 7. Stochastic Target Problems -- 8. Second Order Stochastic Target Problems -- 9. Backward SDEs and Stochastic Control -- 10. Quadratic Backward SDEs -- 11. Probabilistic Numerical Methods for Nonlinear PDEs -- 12. Introduction to Finite Differences Methods -- References. 330 $aThis book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on regularity issues and, in particular, on the behavior of the value function near the boundary. Then a quick review of the main tools from viscosity solutions allowing one to overcome all regularity problems is provided. The second part is devoted to the class of stochastic target problems, which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows; namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part presents an overview of backward stochastic differential equations and their extensions to the quadratic case. Backward stochastic differential equations are intimately related to the stochastic version of Pontryagin?s maximum principle and can be viewed as a strong version of stochastic target problems in the non-Markov context. The main applications to the hedging problem under market imperfections, the optimal investment problem in the exponential or power expected utility framework, and some recent developments in the context of a Nash equilibrium model for interacting investors, are presented. The book concludes with a review of the numerical approximation techniques for nonlinear partial differential equations based on monotonic schemes methods in the theory of viscosity solutions. 410 0$aFields Institute monographs ;$v29. 606 $aStochastic control theory 606 $aOptimal stopping (Mathematical statistics) 606 $aStochastic differential equations 615 0$aStochastic control theory. 615 0$aOptimal stopping (Mathematical statistics) 615 0$aStochastic differential equations. 676 $a629.8312 700 $aTouzi$b Nizar$0128133 701 $aTourin$b Agnes$01241987 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910438156803321 996 $aOptimal stochastic control, stochastic target problems, and backward SDE$92880852 997 $aUNINA