Stochastic control perspectives in mathematical finance

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户:hotjune
下载到本地 , 更方便阅读
声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架
论文部分内容阅读
  The stochastic control theory is a field that probability and partial differential equation are intimately intertwined.With the rapid development of the mathematical finance in the last two decades,the stochastic control theory has gained significant interests both from theoretical researchers and practitioners.In particular,many problems driven by financial applications can be formulated into some interesting non-standard control problems,further raise new challenges in this field.This mini-symposium is devoted to the recent advances in the stochastic control theory motivated by the financial applications.
其他文献
  Computational biomechanics is the study of biology at the organ and tissue level using computer simulation technologies based on mathematical and numerical
会议
  In this paper,the portfolio choice problem for the Gul(1991)'s disappointment averse investors in continuous time framework is developed and considered.Assu
会议
  We wil discuss sensitivity and robustness of a mathematical model,in particular,models used in financial mathematics.In the literature,different models are
会议
  In this study we consider different statistical arbitrage strategies and prove the existence of statistical arbitrage portfolios in the Black-Scholes framew
会议
  We consider the problem of calculating tail loss probability and conditional excess for the Bernoulli mixture model of credit risk.This is an important prob
会议
  In this study we consider different statistical arbitrage strategies and prove the existence of statistical arbitrage portfolios in the Black-Scholes framewor
会议
  We study precommitted strategy of time inconsistent problems,and we note that many such problems in the literature can be transformed into an optimization o
会议
  Introduction Applied and computational mathematics,in particular numerical PDEs,Monte Carlo methods,and numerical optimization,play a crucial role in solvin
会议
  An agent maximizes isoelastic utility from consumption with infinite horizon in an incomplete market,in which state variables are driven by diffusions.We pr
会议
  This work is devoted to irreversible investment problems in duopoly games with regime switching.The problem is formulated as a stopping time game in presenc
会议