Mathematical Control Theory and Finance

  • Andrey Sarychev
  • Albert Shiryaev
  • Manuel Guerra
  • Maria do Rosário Grossinho

Table of contents

  1. Front Matter
    Pages I-XIII
  2. Andrei A. Agrachev, Francesca C. Chittaro
    Pages 1-13
  3. Ghada Alobaidi, Roland Mallier
    Pages 15-27
  4. Ole E. Barndorff-Nielsen, Jürgen Schmiegel
    Pages 29-53
  5. Zbigniew Bartosiewicz, Ewa Pawłuszewicz
    Pages 55-69
  6. Rui A. C. Ferreira, Delfim F. M. Torres
    Pages 149-159
  7. Jean-Paul Gauthier, Fethi Smach, Cedric Lemaître, Johel Miteran
    Pages 161-186
  8. Jean-Paul Gauthier, Vladimir Zakalyukin
    Pages 187-210
  9. Susanne Griebsch, Christoph Kühn, Uwe Wystup
    Pages 211-229
  10. Manuel Guerra, Andrey Sarychev
    Pages 231-250
  11. Nino Kordzakhia, Alexander Novikov
    Pages 251-263
  12. Dorota Mozyrska, Zbigniew Bartosiewicz
    Pages 311-323
  13. Thorsten Schmidt
    Pages 359-375
  14. Moulay Rchid Sidi Ammi, Delfim F. M. Torres
    Pages 387-395
  15. Back Matter
    Pages 419-420

About this book


This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing  a large spectrum of problems and techniques. Control theory provides a large set of theoretical and computational tools with applications in a wide range of fields, ranging from "pure" areas of mathematics up to applied sciences like finance. Stochastic optimal control is a well established and important tool of mathematical finance. Other branches of control theory have found comparatively less applications to financial problems, but the exchange of ideas and methods has intensified in recent years. This volume should contribute to establish bridges between these separate fields. The diversity of topics covered as well as the large array of techniques and ideas brought in to obtain the results make this volume a valuable resource for advanced students and researchers.


Deterministic Control Finance Interpolation Stochastic Control calculus entropy incomplete markets mathematical finance mathematics modeling optimal control optimization volatility

Editors and affiliations

  • Andrey Sarychev
    • 1
  • Albert Shiryaev
    • 2
  • Manuel Guerra
    • 3
  • Maria do Rosário Grossinho
    • 3
  1. 1.DiMaDUniversity of FlorenceFlorenceItaly
  2. 2.Steklov Mathematical Institute of the Russian Academy of SciencesMoscowRussia
  3. 3.ISEG-TU LisbonLisbonPortugal

Bibliographic information

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