sophisticated models based on the theory of stochastic processes and in particular stochastic calculus. In this regard, the … contribution of this thesis is twofold, namely by extending the class if tractable stochastic processes in form of polynomial … processes and polynomial semimartingales and by showing how efficient calibration of local stochastic volatility models is …

This book presents the latest findings on stochastic dynamic programming models and on solving optimal control problems … combinatorial methods. Chapter two is dedicated to infinite horizon stochastic discrete optimal control models and Markov decision …-theoretical approach to Markov decision processes and stochastic discrete optimal control problems. In closing, the book’s final chapter is …