Articles liés à Controlled Markov Processes and Viscosity Solutions.:...
Controlled Markov Processes and Viscosity Solutions.: Stochastic modelling and applied probability, vol 25 - Couverture rigide
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.
Acheter neuf
Afficher cet article
EUR 153,73
EUR 9,70 expédition depuis Allemagne vers France
Destinations, frais et délaisAutres éditions populaires du même titre
Résultats de recherche pour Controlled Markov Processes and Viscosity Solutions.:...
Image d'archives
Controlled Markov Processes and Viscosity Solutions
Edité par
Springer New York, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Ancien ou d'occasion
Couverture rigide
Vendeur : Better World Books, Mishawaka, IN, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
Etat : Very Good. Former library book; may include library markings. Used book that is in excellent condition. May show signs of wear or have minor defects. N° de réf. du vendeur 13727162-6
Quantité disponible : 1 disponible(s)
Image fournie par le vendeur
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
Évaluation du vendeur 5 sur 5 étoiles
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
Quantité disponible : Plus de 20 disponibles
Image d'archives
Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. In English. N° de réf. du vendeur ria9780387260457_new
Quantité disponible : Plus de 20 disponibles
Image fournie par le vendeur
Controlled Markov Processes and Viscosity Solutions
Edité par
Springer New York Nov 2005, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
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
Quantité disponible : 2 disponible(s)
Image fournie par le vendeur
Controlled Markov Processes and Viscosity Solutions
Edité par
Springer New York, Springer US, 2005
ISBN 10 : 0387260455
ISBN 13 : 9780387260457
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : 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. N° de réf. du vendeur 9780387260457
Quantité disponible : 1 disponible(s)
Image fournie par le vendeur
Controlled Markov Processes and Viscosity Solutions
Edité par
Springer New York, Springer US 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. 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. N° de réf. du vendeur 9780387260457
Quantité disponible : 2 disponible(s)
Image d'archives
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
Évaluation du vendeur 4 sur 5 étoiles
Hardcover. Etat : Like New. Like New. book. N° de réf. du vendeur ERICA77303872604556
Quantité disponible : 1 disponible(s)
Image d'archives
Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
Vendeur : California Books, Miami, FL, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. N° de réf. du vendeur I-9780387260457
Quantité disponible : Plus de 20 disponibles
Image d'archives
Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
Vendeur : Lucky's Textbooks, Dallas, TX, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. N° de réf. du vendeur ABLIING23Feb2215580171400
Quantité disponible : Plus de 20 disponibles
Image d'archives
Controlled Markov Processes and Viscosity Solutions
Vendeur : Books Puddle, New York, NY, Etats-Unis
Évaluation du vendeur 4 sur 5 étoiles
Etat : New. pp. 448 2nd Edition. N° de réf. du vendeur 26282487
Quantité disponible : 4 disponible(s)