TY  - GEN
AU  - Federico,Salvatore
AU  - Ferrari,Giorgio
AU  - Regis,Luca
AU  - Federico,Salvatore
AU  - Ferrari,Giorgio
AU  - Regis,Luca
TI  - Applications of Stochastic Optimal Control to Economics and Finance
SN  - books978-3-03936-059-8
PY  - 2020///
CY  - Basel, Switzerland
PB  - MDPI - Multidisciplinary Digital Publishing Institute
KW  - Economics, finance, business & management
KW  - bicssc
KW  - debt crisis
KW  - government debt management
KW  - optimal government debt ceiling
KW  - government debt ratio
KW  - stochastic control
KW  - decision analysis
KW  - risk management
KW  - Bayesian learning
KW  - Markowitz problem
KW  - optimal portfolio
KW  - portfolio selection
KW  - Markov additive processes
KW  - Markov regime switching market
KW  - Markovian jump securities
KW  - asymptotic arbitrage
KW  - complete market
KW  - multiple optimal stopping
KW  - general diffusion
KW  - real option analysis
KW  - energy imbalance market
KW  - optimal reinsurance
KW  - excess-of-loss reinsurance
KW  - Hamilton-Jacobi-Bellman equation
KW  - stochastic factor model
KW  - American options
KW  - least square method
KW  - derivatives pricing
KW  - binomial tree
KW  - stochastic interest rates
KW  - quadrinomial tree
KW  - insurance
KW  - unemployment
KW  - optimal stopping
KW  - geometric Brownian motion
KW  - martingale
KW  - free boundary problem
KW  - American call option
KW  - utility
N1  - Open Access
N2  - 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 individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems.   This book is a collection of the papers published in the Special Issue “Applications of Stochastic Optimal Control to Economics and Finance”, which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book’s chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used
UR  - https://mdpi.com/books/pdfview/book/2421
UR  - https://directory.doabooks.org/handle/20.500.12854/68658
ER  -