Controlled Markov Processes and Viscosity Solutions.: Stochastic modelling and applied probability, vol 25 - Couverture rigide
Livre 9 sur 30: Stochastic Modelling and Applied Probability
Synopsis
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.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
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Springer, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
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Etat : very_good. Supports Goodwill of Silicon Valley job training programs. The cover and pages are in very good condition! The cover and any other included accessories are also in very good condition showing some minor use. The spine is straight, there are no rips tears or creases on the cover or the pages. N° de réf. du vendeur GWSVV.0387260455.VG
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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 (Stochastic Modelling and Applied Probability, 25)
Edité par
Springer, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Ancien ou d'occasion
Couverture rigide
Vendeur : Mispah books, Redhill, SURRE, Royaume-Uni
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Controlled Markov Processes and Viscosity Solutions
Edité par
Springer New York, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Neuf
Couverture rigide
Vendeur : moluna, Greven, Allemagne
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Etat : 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. N° de réf. du vendeur 5909592
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Controlled Markov Processes and Viscosity Solutions
impression à la demandeVendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Buch. Etat : 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. N° de réf. du vendeur 9780387260457
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
Vendeur : California Books, Miami, FL, Etats-Unis
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Controlled Markov Processes and Viscosity Solutions
Edité par
Springer-Verlag New York Inc., US, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Neuf
Couverture rigide
Vendeur : Rarewaves.com USA, London, LONDO, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Hardback. Etat : New. Second Edition 2006. 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. N° de réf. du vendeur LU-9780387260457
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Controlled Markov Processes and Viscosity Solutions
Edité par
Springer, Springer Nov 2005, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : 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. 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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 448 pp. Englisch. N° de réf. du vendeur 9780387260457
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Controlled Markov Processes and Viscosity Solutions
Edité par
Springer, Springer, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N° de réf. du vendeur 9780387260457
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Controlled Markov Processes and Viscosity Solutions
Edité par
Springer-Verlag New York Inc., 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Neuf
Couverture rigide
Vendeur : THE SAINT BOOKSTORE, Southport, Royaume-Uni
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Hardback. Etat : New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days. N° de réf. du vendeur C9780387260457
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