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Fully nonlinear partial differential equations in stochastic control of financial portfolios : 금융 상품의 확률적 제어론에서의 완전 편미분 방정식
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- Authors
- Advisor
- 이기암
- Issue Date
- 2005
- Publisher
- 서울대학교 대학원
- Keywords
- 블랙 숄즈 방정식 ; Black-Scholes eqution ; 이토 정리 ; Ito`s lemma ; 옵션 가격의 수치적 해 ; Numerical solution of option pricing ; 비스카서티 해 ; viscosity solution ; 해밀턴 자코비 밸만 방정식 ; Hamilton-Jacobi-Bellmann equation ; 확률론적 최적 제어 ; stochastic optimal contol
- Description
- Thesis(master`s)--서울대학교 대학원 :수리과학부,2005.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000050690
https://hdl.handle.net/10371/19975
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