Numerical Methods for Optimal Stochastic Control in Finance
In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation or an HJB vari...
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| Language: | en |
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2008
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| Online Access: | http://hdl.handle.net/10012/3794 |