This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

Variational inequality theory has become an effective and powerful technique for studying a
wide class of problems arising in various branches of mathematical and engineering …

In 1989 the first edition of this book set out Gittins' pioneering index solution to the multi-
armed bandit problem and his subsequent investigation of a wide of sequential resource …

5 Stochastic Differential Equations Page 1 5 Stochastic Differential Equations 5.1 Examples
and Some Solution Methods We now return to the possible solutions Xt(ω) of the stochastic …

A new volume of philosophical essays by Bernard Williams. The book is a successor to
Problems of the Self, but whereas that volume dealt mainly with questions of personal …

The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on
applications to mathematical finance. I found it natural to include this material as another …

This book is an introduction to optimal stochastic control for continuous time Markov
processes and the theory of viscosity solutions. It covers dynamic programming for …

It is well known that general variational inequalities provide us with a unified, natural, novel
and simple framework to study a wide class of unrelated problems, which arise in pure and …

This book presents a radically new approach to problems of evaluating and optimizing the
performance of continuous-time stochastic systems. This approach is based on the use of a …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …