Controlled Markov Processes and Viscosity Solutions - Couverture rigide

Fleming, Wendell H.; Soner, H.Mete

Couverture rigide

ISBN 10 : 3540979271 ISBN 13 : 9783540979272

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1993

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.

A propos du livre

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.

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 1993
• ISBN 10: 3540979271
• ISBN 13: 9783540979272
• Reliure: Relié
• Langue: anglais
• Nombre de pages: 443