Now showing items 1-2 of 2
Numerical Methods for Optimal Stochastic Control in Finance
(University of Waterloo, 2008-06-17)
In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the ...
Numerical Methods for Long-Term Impulse Control Problems in Finance
(University of Waterloo, 2008-05-16)
Several of the more complex optimization problems in finance can be characterized as impulse control problems. Impulse control problems can be written as quasi-variational inequalities, which are then solved to determine ...