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Mathematical Control Theory and Finance

Andrey Sarychev, Albert Shiryaev, Manuel Guerra and Maria do Rosário Grossinho, editors
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Extremals Flows and Infinite Horizon Optimization.- Laplace Transforms and the American Call Option.- Time Change, Volatility, and Turbulence.- External Dynamical Equivalence of Analytic Control Systems.- On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model.- Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift.- A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies.- Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints.- Higher-Order Calculus of Variations on Time Scales.- Finding Invariants of Group Actions oon Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis.- Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity.- Instalment Options: A Closed-Form Solution and the Limiting Case.- Existence and Lipschitzian Regularity for Relaxed Minimizers.- Pricing of Defaultable Securities under Stochastic Interest.- Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View).- An Approximate Solution for Optimal Portfolio in Incomplete Markets.- Carleman Linearization of Linearly Observable Polynomial Systems.- Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions.- Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem.- Modelling Energy Markets with Extreme Spikes.- Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics.- Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem.- Managing Operational Risk: Methodology and Prospects.