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Published in:
Discrete Stochastic Calculus Read chapter Read first chapter

2019 | OriginalPaper | Chapter

7. Optimal Control

Authors : Ernst Eberlein, Jan Kallsen

Published in: Mathematical Finance

Publisher: Springer International Publishing

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Abstract

Dynamic stochastic optimisation problems play an important role in Mathematical Finance and other applications. In this chapter we provide basic tools for their mathematical treatment in continuous time.

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Metadata
Title
Optimal Control
Authors
Ernst Eberlein
Jan Kallsen
Copyright Year
2019
Book
Mathematical Finance

Print ISBN: 978-3-030-26105-4

Electronic ISBN: 978-3-030-26106-1

Copyright Year: 2019

DOI
https://doi.org/10.1007/978-3-030-26106-1_7