02884nmm a2200337 u 4500001001200000003002700012005001700039007002400056008004100080020001800121100003100139245015700170250001700327260006300344300003300407505075200440653001201192653001901204653002101223653002801244653002501272700003101297700002901328700004301357710003401400041001901434989003601453856007201489082000801561520097701569EB000378022EBX0100000000000000023107400000000000000.0cr|||||||||||||||||||||130626 ||| eng a97835406953251 aSarychev, Andreye[editor]00aMathematical Control Theory and FinancehElektronische Ressourcecedited by Andrey Sarychev, Albert Shiryaev, Manuel Guerra, Maria do Rosário Grossinho a1st ed. 2008 aBerlin, HeidelbergbSpringer Berlin Heidelbergc2008, 2008 aXIII, 420 pbonline resource0 aInvariant Solutions to a Nonlinear Model -- Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift -- A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies -- Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints -- Higher-Order Calculus of Variations on Time Scales -- Finding Invariants of Group Actions on Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis -- Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity -- Instalment Options: A Closed-Form Solution and the Limiting Case -- Existence and Lipschitzian Regularity for Relaxed Minimizers -- Pricing of Defaultable Securities under Stochas aFinance aSystems theory aFinance, general aSystems Theory, Control aQuantitative Finance1 aShiryaev, Alberte[editor]1 aGuerra, Manuele[editor]1 aGrossinho, Maria do Rosárioe[editor]2 aSpringerLink (Online service)07aeng2ISO 639-2 bSpringeraSpringer eBooks 2005- uhttps://doi.org/10.1007/978-3-540-69532-5?nosfx=yxVerlag3Volltext0 a519 aThis 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