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Applications of Stochastic Optimal Control to Economics and Finance

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...

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Gespeichert in:
Format: Online
Sprache:Englisch
Veröffentlicht: MDPI - Multidisciplinary Digital Publishing Institute 2021
Schlagworte:
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
thema EDItEUR::K Economics, Finance, Business and Management
Online-Zugang:ONIX_20210501_9783039360581_404
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