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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
Fleming, Wendell H., Soner, Halil Mete
€ 235.90
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Description for Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
Hardcover. Presents an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. This title covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. Series: Stochastic Modelling and Applied Probability. Num Pages: 429 pages, biography. BIC Classification: PBT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 25. Weight in Grams: 802.
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 deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.
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 deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.
Product Details
Format
Hardback
Publication date
2005
Publisher
Springer
Condition
New
Series
Stochastic Modelling and Applied Probability
Number of Pages
429
Place of Publication
New York, NY, United States
ISBN
9780387260457
SKU
V9780387260457
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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