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dc.contributor.advisorKemajou-Brown, Isabelle
dc.contributor.advisorN'Guerekata, Gaston M.
dc.contributor.advisorXie, Xuming
dc.contributor.advisorZiyadi, Najat
dc.contributor.authorTeutu Talla, Serges Love
dc.contributor.departmentMathematicsen_US
dc.contributor.programMaster of Artsen_US
dc.date.accessioned2020-04-10T13:51:28Z
dc.date.available2020-04-10T13:51:28Z
dc.date.issued2019-10-18
dc.description.abstractIn this work, we briefly review the literature on stochastic optimization problems using the Pontryagin Maximum Principle. Then, we investigate the procedure for solving a risk-sensitivity stochastic maximum principle problem with regime-switching. Finally, we provide an application in finance.en_US
dc.genrethesesen_US
dc.identifierdoi:10.13016/m22ktp-rkpz
dc.identifier.urihttp://hdl.handle.net/11603/17939
dc.language.isoen_USen_US
dc.subjectMathematicsen_US
dc.titleA Finance Perspective to Risk-Sensitive Optimal Control with Regime Switching and Applicationsen_US
dc.typeTexten_US


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