Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)

Fleming, Wendell H., Soner, Halil Mete

ISBN 10: 1441920781 / ISBN 13: 9781441920782

Verlag: Springer, 2009

Beschreibung

Like New. Bestandsnummer des Verkäufers ERICA77314419207816

Bibliografische Details

Titel: Controlled Markov Processes and Viscosity ...

Verlag: Springer

Erscheinungsdatum: 2009

Einband: Paperback

Zustand: Like New

Auflage: 2. Auflage

Art des Buches: book

Über diesen Titel

Reseña del editor:

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.