Optimização e Teoria do Controlo em Finanças (1 º Sem 2020/2021)

MF (Mathematical Finance)

Bibliografia

Principal

• Touzi, N., Stochastic control problems, viscosity solutions and application to finance , Quaderni. Pisa: Scuola Normale Superiore, 2004.
• Zabczyk, J., Mathematical control theory: an introduction , Birkhäuser, 1995.

Secundária

• Cesari, L., Optimization ? Theory and applications, problems with ordinary differential equations , Springer-Verlag, 1983.
• Øksendal, B.; Sulem, A., Applied stochastic control of jump diffusions , Springer-Verlag., 2005.