Abstract
In this chapter, we outline the basic structure of a stochastic optimization problem in continuous time, and we illustrate it through several examples from mathematical finance. The solution to these problems will be detailed later.
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© 2009 Springer-Verlag Berlin Heidelberg
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Pham, H. (2009). Stochastic optimization problems. Examples in finance. In: Continuous-time Stochastic Control and Optimization with Financial Applications. Stochastic Modelling and Applied Probability, vol 61. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-89500-8_2
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DOI: https://doi.org/10.1007/978-3-540-89500-8_2
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-89499-5
Online ISBN: 978-3-540-89500-8
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