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Mathematical Control Theory and Finance

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Table of Contents

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    Book Overview
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    Chapter 1 Extremals Flows and Infinite Horizon Optimization
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    Chapter 2 Laplace Transforms and the American Call Option
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    Chapter 3 Time Change, Volatility, and Turbulence
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    Chapter 4 External Dynamical Equivalence of Analytic Control Systems
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    Chapter 5 On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
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    Chapter 6 Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
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    Chapter 7 A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies
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    Chapter 8 Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints
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    Chapter 9 Higher-Order Calculus of Variations on Time Scales
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    Chapter 10 Finding Invariants of Group Actions on Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis
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    Chapter 11 Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity
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    Chapter 12 Instalment Options: A Closed-Form Solution and the Limiting Case
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    Chapter 13 Existence and Lipschitzian Regularity for Relaxed Minimizers
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    Chapter 14 Pricing of Defaultable Securities under Stochastic Interest
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    Chapter 15 Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
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    Chapter 16 An Approximate Solution for Optimal Portfolio in Incomplete Markets
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    Chapter 17 Carleman Linearization of Linearly Observable Polynomial Systems
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    Chapter 18 Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions
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    Chapter 19 Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem
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    Chapter 20 Modelling Energy Markets with Extreme Spikes
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    Chapter 21 Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
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    Chapter 22 Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem
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    Chapter 23 Managing Operational Risk: Methodology and Prospects
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1 institution with syllabi

Citations

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13 Dimensions

Readers on

mendeley
37 Mendeley
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Title
Mathematical Control Theory and Finance
Published by
Springer Berlin Heidelberg, January 2008
DOI 10.1007/978-3-540-69532-5
ISBNs
978-3-54-069532-5, 978-3-54-069531-8
Authors

Sarychev, Andrey, Shiryaev, Albert, Guerra, Manuel, Grossinho, Maria do Rosário

Editors

Sarychev, Andrey, Shiryaev, Albert, Guerra, Manuel, Grossinho, Maria do Rosário

Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 37 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Turkey 1 3%
Unknown 36 97%

Demographic breakdown

Readers by professional status Count As %
Researcher 9 24%
Student > Ph. D. Student 5 14%
Student > Bachelor 4 11%
Student > Doctoral Student 4 11%
Professor > Associate Professor 3 8%
Other 7 19%
Unknown 5 14%
Readers by discipline Count As %
Engineering 12 32%
Mathematics 5 14%
Physics and Astronomy 4 11%
Economics, Econometrics and Finance 3 8%
Business, Management and Accounting 2 5%
Other 4 11%
Unknown 7 19%