Stochastic Modelling and Applied Probability Ser.: Continuous-Time Stochastic Control and Optimization with Financial Applications by Huyên Pham (2009, Hardcover)
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Stochastic optimization problems. Examples in finance. - The classical PDE approach to dynamic programming. - Optimal switching and free boundary problems. Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance.