Items related to Markov Decision Processes with Applications to Finance
Synopsis
Preface.- 1.Introduction and First Examples.- Part I Finite Horizon Optimization Problems and Financial Markets.- 2.Theory of Finite Horizon Markov Decision Processes.- 3.The Financial Markets.- 4.Financial Optimization Problems.- Part II Partially Observable Markov Decision Problems.- 5.Partially Observable Markov Decision Processes.- 6.Partially Observable Markov Decision Problems in Finance.- Part III Infinite Horizon Optimization Problems.- 7.Theory of Infinite Horizon Markov Decision Processes.- 8.Piecewise Deterministic Markov Decision Processes.- 9.Optimization Problems in Finance and Insurance.- Part IV Stopping Problems.- 10.Theory of Optimal Stopping Problems.- 11.Stopping Problems in Finance.- Part V Appendix.- A.Tools from Analysis.- B.Tools from Probability.- C.Tools from Mathematical Finance.- References.- Index.
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