Solving Free-boundary Problems with Applications in Finance
Stochastic control problems in which there are no bounds on the rate of control reduce to so-called free-boundary problems in partial differential equations (PDEs). In a free-boundary problem the solution of the PDE and the domain over which the PDE must be solved need to be determined simultaneously. Examples of such stochastic control problems are singular control, optimal stopping and impulse control problems. Application areas of these problems are diverse and include finance, economics, queuing, healthcare and public policy. In most cases, the free-boundary problem needs to be solved numerically. This volume presen…
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Produktdetails
Weitere Autoren: Kumar, Sunil
- ISBN: 978-1-60198-168-4
- EAN: 9781601981684
- Produktnummer: 26206170
- Verlag: now publishers Inc
- Sprache: Englisch
- Erscheinungsjahr: 2008
- Seitenangabe: 96 S.
- Masse: H23.4 cm x B15.6 cm x D0.5 cm 148 g
- Gewicht: 148
- Sonstiges: General (US: Trade)
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