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A rigorous introduction to continuous-time stochastic control and its applications in finance. The book provides theoretical foundations, mathematical tools, and practical examples for optimal decision-making in stochastic environments. Topics include stochastic differential equations, dynamic programming, Hamilton–Jacobi–Bellman equations, portfolio optimization, and applications in financial engineering. The work is intended for researchers, graduate students, and practitioners in applied mathematics, financial engineering, and quantitative finance.

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245: $a: Continuous-time Stochastic Control and Optimization with Financial Applications
245: $b:
082: $a:
100: $a: Huyên Pham
650: $a: financial mathematics
250: $a:
440: $v:
250: $b: Springer-Verlag Berlin Heidelberg
250: $c: 2009
020: $a: 978-3-540-89499-5
300: $a: 212