Continuous-time Stochastic Control and Optimization with Financial Applications

  • Huyên Pham

Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 61)

Table of contents

About this book


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.


Martingale Optimization Methods Stochastic Differential Equations Stochastic Optimization backward stochastic differential equations duality dynamic programming finance optimization stochastic Optimisation

Authors and affiliations

  • Huyên Pham

There are no affiliations available

Bibliographic information

Industry Sectors
Finance, Business & Banking
IT & Software
Energy, Utilities & Environment
Oil, Gas & Geosciences