Cuentos cortos:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | Spanish |
| Veröffentlicht: |
Barcelona
Debolsillo
mayo 2016
|
| Ausgabe: | Primera edición en Debolsillo |
| Schriftenreihe: | Debolsillo
vol. 1147/8 Biblioteca Julio Llamazares 8 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 201 Seiten 19 cm |
| ISBN: | 9788466335591 8466335595 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804177525600944128 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
SOME ELEMENTS OF STOCHASTIC ANALYSIS 1
1.1 STOCHASTIC PROCESSES 1
1.1.1 FILTRATION AND PROCESSES 1
1.1.2 STOPPING TIMES 3
1.1.3 BROWNIAN MOTION 5
1.1.4 MARTINGALES, SEMIMARTINGALES 6
1.2 STOCHASTIC INTEGRAL AND APPLICATIONS 12
1.2.1 STOCHASTIC INTEGRAL WITH RESPECT TO A CONTINUOUS SEMIMARTINGALE ..
12 1.2.2 ITOE PROCESS 16
1.2.3 ITOE S FORMULA 17
1.2.4 MARTINGALE REPRESENTATION THEOREM 18
1.2.5 GIRSANOV S THEOREM 18
1.3 STOCHASTIC DIFFERENTIAL EQUATIONS 22
1.3.1 STRONG SOLUTIONS OF SDE 22
1.3.2 ESTIMATES ON THE MOMENTS OF SOLUTIONS TO SDE 24
1.3.3 FEYNMAN-KAC FORMULA 25
STOCHASTIC OPTIMIZATION PROBLEMS. EXAMPLES IN FLNANCE 27
2.1 INTRODUCTION 27
2.2 EXAMPLES 28
2.2.1 PORTFOLIO ALLOCATION 28
2.2.2 PRODUCTION-CONSUMPTION MODEL 29
2.2.3 IRREVERSIBLE INVESTMENT MODEL 30
2.2.4 QUADRATIC HEDGING OF OPTIONS 31
2.2.5 SUPERREPLICATION COST IN UNCERTAIN VOLATILITY 31
2.2.6 OPTIMAL SELLING OF AN ASSET 32
2.2.7 VALUATION OF NATURAL RESOURCES 32
2.3 OTHER OPTIMIZATION PROBLEMS IN FINANCE 32
2.3.1 ERGODIC AND RISK-SENSITIVE CONTROL PROBLEMS 32
2.3.2 SUPERREPLICATION UNDER GAMMA CONSTRAINTS 33
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/992498597
DIGITALISIERT DURCH
IMAGE 2
XII CONTENTS
2.3.3 ROBUST UTILITY MAXIMIZATION PROBLEM AND RISK MEASURES 33 2.3.4
FORWARD PERFORMANCE CRITERION 34
2.4 BIBLIOGRAPHICAL REMARKS 34
3 THE CLASSICAL PDE APPROACH TO DYNAMIC PROGRAMMING 37
3.1 INTRODUCTION 37
3.2 CONTROLLED DIFFUSION PROCESSES 37
3.3 DYNAMIC PROGRAMMING PRINCIPLE 40
3.4 HAMILTON-JACOBI-BELLMAN EQUATION 42
3.4.1 FORMAL DERIVATION OF HJB 42
3.4.2 REMARKS AND EXTENSIONS 45
3.5 VERIFICATION THEOREM 47
3.6 APPLICATIONS 51
3.6.1 MERTON PORTFOLIO ALLOCATION PROBLEM IN FINITE HORIZON 51
3.6.2 INVESTMENT-CONSUMPTION PROBLEM WITH RANDOM TIME HORIZON 53 3.6.3 A
MODEL OF PRODUCTION-CONSUMPTION ON INFINITE HORIZON 55 3.7 EXAMPLE OF
SINGULAR STOCHASTIC CONTROL PROBLEM 58
3.8 BIBLIOGRAPHICAL REMARKS 59
4 THE VISCOSITY SOLUTIONS APPROACH TO STOCHASTIC CONTROL PROBLEMS 61 4.1
INTRODUCTION 61
4.2 DEFINITION OF VISCOSITY SOLUTIONS 61
4.3 FROM DYNAMIC PROGRAMMING TO VISCOSITY SOLUTIONS OF HJB EQUATIONS . .
.. 64 4.3.1 VISCOSITY PROPERTIES INSIDE THE DOMAIN 64
4.3.2 TERMINAL CONDITION 69
4.4 COMPARISON PRINCIPLES AND UNIQUENESS RESULTS 75
4.4.1 CLASSICAL COMPARISON PRINCIPLE 76
4.4.2 STRONG COMPARISON PRINCIPLE 77
4.5 AN IRREVERSIBLE INVESTMENT MODEL 82
4.5.1 PROBLEM 82
4.5.2 REGULARITY AND CONSTRUCTION OF THE VALUE FUNCTION 83
4.5.3 OPTIMAL STRATEGY 88
4.6 SUPERREPLICATION COST IN UNCERTAIN VOLATILITY MODEL 89
4.6.1 BOUNDED VOLATILITY 90
4.6.2 UNBOUNDED VOLATILITY 91
4.7 BIBLIOGRAPHICAL REMARKS 94
5 OPTIMAL SWITCHING AND FREE BOUNDARY PROBLEMS 95
5.1 INTRODUCTION 95
5.2 OPTIMAL STOPPING 95
5.2.1 DYNAMIC PROGRAMMING AND VISCOSITY PROPERTY 96
5.2.2 SMOOTH-FIT PRINCIPLE 99
5.2.3 OPTIMAL STRATEGY 101
5.2.4 METHODS OF SOLUTION IN THE ONE-DIMENSIONAL CASE 103
5.2.5 EXAMPLES OF APPLICATIONS 104
IMAGE 3
CONTENTS XIII
5.3 OPTIMAL SWITCHING 107
5.3.1 PROBLEM FORMULATION 108
5.3.2 DYNAMIC PROGRAMMING AND SYSTEM OF VARIATIONAL INEQUALITIES . . ..
109 5.3.3 SWITCHING REGIONS 114
5.3.4 THE ONE-DIMENSIONAL CASE 116
5.3.5 EXPLICIT SOLUTION IN THE TWO-REGIME CASE 119
5.4 BIBLIOGRAPHICAL REMARKS 137
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND OPTIMAL CONTROL 139 6.1
INTRODUCTION 139
6.2 GENERAL PROPERTIES 139
6.2.1 EXISTENCE AND UNIQUENESS RESULTS 139
6.2.2 LINEAR BSDE 141
6.2.3 COMPARISON PRINCIPLES 142
6.3 BSDE, PDE AND NONLINEAR FEYNMAN-KAC FORMULAE 143
6.4 CONTROL AND BSDE 147
6.4.1 OPTIMIZATION OF A FAMILY OF BSDES 147
6.4.2 STOCHASTIC MAXIMUM PRINCIPLE 149
6.5 REFLECTED BSDES AND OPTIMAL STOPPING PROBLEMS 152
6.5.1 EXISTENCE AND APPROXIMATION VIA PENALIZATION 154
6.5.2 CONNECTION WITH VARIATIONAL INEQUALITIES 159
6.6 APPLICATIONS 162
6.6.1 EXPONENTIAL UTILITY MAXIMIZATION WITH OPTION PAYOFF 162 6.6.2
MEAN-VARIANCE CRITERION FOR PORTFOLIO SELECTION 165
6.7 BIBLIOGRAPHICAL REMARKS 169
MARTINGALE AND CONVEX DUALITY METHODS 171
7.1 INTRODUCTION 171
7.2 DUAL REPRESENTATION FOR THE SUPERREPLICATION COST 172
7.2.1 FORMULATION OF THE SUPERREPLICATION PROBLEM 172
7.2.2 MARTINGALE PROBABILITY MEASURES AND NO ARBITRAGE 173
7.2.3 OPTIONAL DECOMPOSITION THEOREM AND DUAL REPRESENTATION FOR THE
SUPERREPLICATION COST 174
7.2.4 ITO PROCESSES AND BROWNIAN FILTRATION FRAMEWORK 177
7.3 DUALITY FOR THE UTILITY MAXIMIZATION PROBLEM 181
7.3.1 FORMULATION OF THE PORTFOLIO OPTIMIZATION PROBLEM 181
7.3.2 GENERAL EXISTENCE RESULT 181
7.3.3 RESOLUTION VIA THE DUAL FORMULATION 183
7.3.4 THE CASE OF COMPLETE MARKETS 195
7.3.5 EXAMPLES IN INCOMPLETE MARKETS 197
7.4 QUADRATIC HEDGING PROBLEM 199
7.4.1 PROBLEM FORMULATION 199
7.4.2 THE MARTINGALE CASE 200
7.4.3 VARIANCE OPTIMAL MARTINGALE MEASURE AND QUADRATIC HEDGING
NUMERAIRE 201
IMAGE 4
XIV CONTENTS
7.4.4 PROBLEM RESOLUTION BY CHANGE OF NUMERAIRE 206
7.4.5 EXAMPLE 210
7.5 BIBLIOGRAPHICAL REMARKS 212
A COMPLEMENTS OF INTEGRATION 213
A.L UNIFORM INTEGRABILITY 213
A.2 ESSENTIAL SUPREMUM OF A FAMILY OF RANDOM VARIABLES 215
A.3 SOME COMPACTNESS THEOREMS IN PROBABILITY 215
B CONVEX ANALYSIS CONSIDERATIONS 217
B.L SEMICONTINUOUS, CONVEX FUNCTIONS 217
B.2 FENCHEL-LEGENDRE TRANSFORM 218
B.3 EXAMPLE IN K 219
REFERENCES 223
INDEX 231
|
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| author | Llamazares, Julio 1955- |
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| building | Verbundindex |
| bvnumber | BV044312735 |
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| ctrlnum | (OCoLC)992498597 (DE-599)BVBBV044312735 |
| discipline | Romanistik |
| edition | Primera edición en Debolsillo |
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| id | DE-604.BV044312735 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:49:28Z |
| institution | BVB |
| isbn | 9788466335591 8466335595 |
| language | Spanish |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029716356 |
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| physical | 201 Seiten 19 cm |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Debolsillo |
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| series | Debolsillo Biblioteca Julio Llamazares |
| series2 | Debolsillo Biblioteca Julio Llamazares |
| spelling | Llamazares, Julio 1955- Verfasser (DE-588)120446642 aut Kurzgeschichten Cuentos cortos Julio Llamazares Biblioteca Primera edición en Debolsillo Barcelona Debolsillo mayo 2016 201 Seiten 19 cm txt rdacontent n rdamedia nc rdacarrier Debolsillo vol. 1147/8 Biblioteca Julio Llamazares 8 Short stories Debolsillo vol. 1147/8 (DE-604)BV023553228 1147,8 Biblioteca Julio Llamazares 8 (DE-604)BV044355894 8 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029716356&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Llamazares, Julio 1955- Cuentos cortos Debolsillo Biblioteca Julio Llamazares |
| title | Cuentos cortos |
| title_alt | Kurzgeschichten Biblioteca |
| title_auth | Cuentos cortos |
| title_exact_search | Cuentos cortos |
| title_full | Cuentos cortos Julio Llamazares |
| title_fullStr | Cuentos cortos Julio Llamazares |
| title_full_unstemmed | Cuentos cortos Julio Llamazares |
| title_short | Cuentos cortos |
| title_sort | cuentos cortos |
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