Mathematical Control Theory and Finance

Edited by Andrey Sarychev (), Albert Shiryaev (), Manuel Guerra () and Maria do Rosário Grossinho ()

in Springer Books from Springer

Date: 2008
ISBN: 978-3-540-69532-5
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Chapters in this book:

Extremals Flows and Infinite Horizon Optimization

Andrei A. Agrachev and Francesca C. Chittaro

Laplace Transforms and the American Call Option

Ghada Alobaidi and Roland Mallier

Time Change, Volatility, and Turbulence

Ole Barndorff-Nielsen and Jürgen Schmiegel

External Dynamical Equivalence of Analytic Control Systems

Zbigniew Bartosiewicz and Ewa Pawłuszewicz

On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model

Ljudmila A. Bordag

Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift

Jacques du Toit and Goran Peskir

A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies

Paul Emms

Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints

Eugene A. Feinberg

Higher-Order Calculus of Variations on Time Scales

Rui A. C. Ferreira and Delfim F. M. Torres

Finding Invariants of Group Actions on Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis

Jean-Paul Gauthier, Fethi Smach, Cedric Lemaître and Johel Miteran

Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity

Jean-Paul Gauthier and Vladimir Zakalyukin

Instalment Options: A Closed-Form Solution and the Limiting Case

Susanne Griebsch, Christoph Kühn and Uwe Wystup

Existence and Lipschitzian Regularity for Relaxed Minimizers

Manuel Guerra and Andrey Sarychev

Pricing of Defaultable Securities under Stochastic Interest

Nino Kordzakhia and Alexander Novikov

Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)

Andrew Lyasoff

An Approximate Solution for Optimal Portfolio in Incomplete Markets

Francesco Menoncin

Carleman Linearization of Linearly Observable Polynomial Systems

Dorota Mozyrska and Zbigniew Bartosiewicz

Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions

Ewa Pawłuszewicz

Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem

Laura Poggiolini and Marco Spadini

Modelling Energy Markets with Extreme Spikes

Thorsten Schmidt

Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics

Albert N. Shiryaev

Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem

Moulay Rchid Sidi Ammi and Delfim F. M. Torres

Managing Operational Risk: Methodology and Prospects

Grigory Temnov

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DOI: 10.1007/978-3-540-69532-5

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