Mathematical Control Theory and Finance
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 comput...
| Other Authors: | , , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2008, 2008
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| Edition: | 1st ed. 2008 |
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Extremals Flows and Infinite Horizon Optimization
- Laplace Transforms and the American Call Option
- Time Change, Volatility, and Turbulence
- External Dynamical Equivalence of Analytic Control Systems
- On Option-Valuation in Illiquid Markets: Invariant 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 Stochastic Interest
- Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
- An Approximate Solution for Optimal Portfolio in Incomplete Markets
- Carleman Linearization of Linearly Observable Polynomial Systems
- Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions
- Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem
- Modelling Energy Markets with Extreme Spikes
- Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
- Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem
- Managing Operational Risk: Methodology and Prospects