Controlled Markov Processes and Viscosity Solutions.: Stochastic modelling and applied probability, vol 25 - Couverture rigide

Livre 9 sur 30: Stochastic Modelling and Applied Probability

Fleming, Wendell Helms

9780387260457: Controlled Markov Processes and Viscosity Solutions.: Stochastic modelling and applied probability, vol 25

Couverture rigide

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

Editeur : Springer-Verlag New York Inc., 2005

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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.

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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 r�f�rence � une autre �dition de ce titre.

�diteur: Springer-Verlag New York Inc.
Date d'�dition: 2005
Langue: anglais
ISBN 10: 0387260455
ISBN 13: 9780387260457
Reliure: Reli�
Num�ro d'�dition: 2
Nombre de pages: 429
Coordonn�es du fabricant: Springer Nature Customer Service Center GmbH
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9781441920782: Controlled Markov Processes and Viscosity Solutions

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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)

Fleming, Wendell H.; Soner, Halil Mete

Edit� par 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 r�f. du vendeur GWSVV.0387260455.VG

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Controlled Markov Processes and Viscosity Solutions

Fleming, Wendell H., Soner, H. M.

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Etat : Good. Pages intact with minimal writing/highlighting. The binding may be loose and creased. Dust jackets/supplements are not included. Stock photo provided. Product includes identifying sticker. Better World Books: Buy Books. Do Good. N� de r�f. du vendeur 52916824-20

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Controlled Markov Processes and Viscosity Solutions: Stochastic modelling and applied probability, vol 25 (Stochastic Modelling and Applied Probability, 25, Band 25)

Fleming Wendell, H. und Mete Soner Halil:

Edit� par Springer, 2005

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

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hardcover. Etat : Gut. 446 Seiten; 9780387260457.3 Gewicht in Gramm: 3. N� de r�f. du vendeur 1041930

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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)

Fleming, Wendell H.; Soner, Halil Mete

Edit� par Springer, 2005

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

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Etat : New. In English. N� de r�f. du vendeur ria9780387260457_new

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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)

Fleming, Wendell H., Soner, Halil Mete

Edit� par Springer, 2005

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

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Hardcover. Etat : Like New. LIKE NEW. SHIPS FROM MULTIPLE LOCATIONS. book. N� de r�f. du vendeur ERICA77303872604556

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Controlled Markov Processes and Viscosity Solutions

Wendell H. Fleming|Halil Mete Soner

Edit� par Springer New York, 2005

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

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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 r�f. du vendeur 5909592

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Controlled Markov Processes and Viscosity Solutions

Halil Mete Soner

Edit� par Springer New York Nov 2005, 2005

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

Neuf Couverture rigide

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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 r�f. du vendeur 9780387260457

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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)

Fleming, Wendell H.; Soner, Halil Mete

Edit� par Springer, 2005

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

Neuf Couverture rigide

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Controlled Markov Processes and Viscosity Solutions

Wendell H. Fleming, Halil Mete Soner

Edit� 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

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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 r�f. du vendeur LU-9780387260457

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Controlled Markov Processes and Viscosity Solutions

Wendell H. Fleming (u. a.)

Edit� par Springer, 2005

ISBN 10 : 0387260455 ISBN 13 : 9780387260457

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