Lien ebook : https://bibliotheque.univ-catholille.fr/Default/doc/nlebk/28...

eISBN : 978-1-4008-2981-1

Sommaire :
Preface
Introduction

I Mathematical Preliminaries
Stochastic Processes, Brownian Motions, and Diffusions
The Hamilton-Jacobi-Bellman Equation
Martingales
Useful Formulas for Brownian Motions

II Impulse Control Models
Exercising an Option
Models with Fixed Costs
Models with Fixed and Variable Costs
Models with Continuous Control Variables

III Instantaneous Control Models
Regulated Brownian Motion
Investment: Linear and Convex Adjustment Costs

IV Aggregation
An Aggregate Model with Fixed Costs
Continuous Stochastic Processes
Optional Stopping Theorem

References
Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque