Controlled Markov Processes and Viscosity Solutions
Wendell H. Fleming
ISBN 10: 1441920781 ISBN 13: 9781441920782
Verlag: Springer-Verlag New York Inc., 2010
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Beschreibung
Beschreibung:
Series: Stochastic Modelling and Applied Probability. Num Pages: 446 pages, biography. BIC Classification: PBT; PBWL; PDE; TBJ. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 23. Weight in Grams: 682. . 2010. Softcover reprint of hardcover 2nd ed. 2006. Paperback. . . . . Bestandsnummer des Verkäufers V9781441920782
Inhaltsangabe:
This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors use 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.
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.
„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.
Bibliografische Details
Titel: Controlled Markov Processes and Viscosity ...
Verlag: Springer-Verlag New York Inc.
Erscheinungsdatum: 2010
Einband: Softcover
Zustand: New
Auflage: 2. Auflage
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Controlled Markov Processes and Viscosity Solutions
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides a luckd introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutionsAlso offers a concise introduction to risk-sensitive control theory, nonlinear H-infinity control and d. Bestandsnummer des Verkäufers 4172616
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
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Controlled Markov Processes and Viscosity Solutions
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Springer New York, Springer US Nov 2010, 2010
ISBN 10: 1441920781
ISBN 13: 9781441920782
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Taschenbuch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 448 pp. Englisch. Bestandsnummer des Verkäufers 9781441920782
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Controlled Markov Processes and Viscosity Solutions
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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dynamic programming. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data. The theory is illustrated by applications from engineering, management science, and financial economics.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.Review of the earlier edition:'This book is highly recommended to anyone who wishes to learn the dinamic principle applied to optimal stochastic control for diffusion processes. Without any doubt, this is a fine book and most likely it is going to become a classic on the area. .'SIAM Review, 1994 448 pp. Englisch. Bestandsnummer des Verkäufers 9781441920782
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
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Controlled Markov Processes and Viscosity Solutions
Verlag:
Springer New York, Springer US, 2010
ISBN 10: 1441920781
ISBN 13: 9781441920782
Neu
Taschenbuch
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dynamic programming. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data. The theory is illustrated by applications from engineering, management science, and financial economics.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.Review of the earlier edition:'This book is highly recommended to anyone who wishes to learn the dinamic principle applied to optimal stochastic control for diffusion processes. Without any doubt, this is a fine book and most likely it is going to become a classic on the area. .'SIAM Review, 1994. Bestandsnummer des Verkäufers 9781441920782
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Controlled Markov Processes and Viscosity Solutions (Paperback)
Verlag:
Springer-Verlag New York Inc., New York, NY, 2010
ISBN 10: 1441920781
ISBN 13: 9781441920782
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Paperback. Zustand: new. Paperback. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Bestandsnummer des Verkäufers 9781441920782
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
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Controlled Markov Processes and Viscosity Solutions
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