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

Fleming, Wendell H., Soner, Halil Mete

ISBN 10: 0387260455 / ISBN 13: 9780387260457

Edité par Springer, 2005

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Like New. N° de réf. du vendeur ERICA77303872604556

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Titre : Controlled Markov Processes and Viscosity ...

Éditeur : Springer

Date d'édition : 2005

Reliure : Hardcover

Etat : Like New

Edition : 2ème Édition

Type de livre : book

A propos de ce titre

Synopsis :

Controlled Markov Processes and Viscosity Solutions Presents an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. This title covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions.

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.