Controlled Markov Processes and Viscosity Solutions (Hardcover)

Wendell H. Fleming

ISBN 10: 0387260455 / ISBN 13: 9780387260457

Verlag: Springer-Verlag New York Inc., New York, NY, 2005

Beschreibung

Hardcover. This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance.In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included. 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. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

Bestandsnummer des Verkäufers 9780387260457

Bibliografische Details

• Titel: Controlled Markov Processes and Viscosity Solutions (Hardcover)
• Verlag: Springer-Verlag New York Inc., New York, NY
• Erscheinungsjahr: 2005
• Sprache: Englisch
• ISBN-10: 0387260455
• ISBN-13: 9780387260457
• Einband: Hardcover
• Auflage: 2. Auflage
• Zustand: new

Über diesen Titel

Inhaltsangabe

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.

Über die Autorin bzw. den Autor

Charlotte y Peter Fiell son dos autoridades en historia, teoría y crítica del diseño y han escrito más de sesenta libros sobre la materia, muchos de los cuales se han convertido en éxitos de ventas. También han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Diseño del siglo XX, El diseño industrial de la A a la Z, Scandinavian Design y Diseño del siglo XXI.