Articles liés à Controlled Markov Processes and Viscosity Solutions
Synopsis
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.
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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.
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
Edité par
Springer, 1993
ISBN 10 : 0387979271
ISBN 13 : 9780387979274
Ancien ou d'occasion
Couverture rigide
Vendeur : Zubal-Books, Since 1961, Cleveland, OH, Etats-Unis
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
Edité par
Springer, 1748
ISBN 10 : 0387979271
ISBN 13 : 9780387979274
Ancien ou d'occasion
Couverture rigide
Vendeur : MyLibraryMarket, Waynesville, OH, Etats-Unis
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hardcover. Etat : As New. ***Please Read*** NAME INSIDE COVER - No marks on text - My shelf location 65-C-33*. N° de réf. du vendeur 250308034
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Image d'archives
Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
Edité par
Springer, 1748
ISBN 10 : 0387979271
ISBN 13 : 9780387979274
Ancien ou d'occasion
Couverture rigide
Vendeur : HPB-Red, Dallas, TX, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
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