Applications of Stochastic Optimal Control to Economics and Finance

• অন্যান্য লেখক: Federico, Salvatore (সম্পাদক), Ferrari, Giorgio (সম্পাদক), Regis, Luca (সম্পাদক)
• বিন্যাস: বৈদ্যুতিক গ্রন্থের অধ্যায়
• ভাষা: ইংরেজি
• প্রকাশিত: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2020
• বিষয়গুলি: Economics, finance, business & management; debt crisis; government debt management; optimal government debt ceiling; government debt ratio; stochastic control; decision analysis; risk management; Bayesian learning; Markowitz problem; optimal portfolio; portfolio selection; Markov additive processes; Markov regime switching market; Markovian jump securities; asymptotic arbitrage; complete market; multiple optimal stopping; general diffusion; real option analysis; energy imbalance market; optimal reinsurance; excess-of-loss reinsurance; Hamilton-Jacobi-Bellman equation; stochastic factor model; American options; least square method; derivatives pricing; binomial tree; stochastic interest rates; quadrinomial tree; insurance; unemployment; optimal stopping; geometric Brownian motion; martingale; free boundary problem; American call option; utility
• অনলাইন ব্যবহার করুন: DOAB: download the publication; DOAB: description of the publication

In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individua...