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

Fleming, Wendell H., Soner, Halil Mete

ISBN 10: 0387260455 / ISBN 13: 9780387260457

Edité par Springer, 2005

A propos de cet article

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. Series: Stochastic Modelling and Applied Probability. Num Pages: 429 pages, biography. BIC Classification: PBT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 25. Weight in Grams: 802. . 2005. 2nd. Hardcover. . . . .

N° de réf. du vendeur V9780387260457

Détails bibliographiques

• Titre: Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
• Éditeur: Springer
• Date de parution: 2005
• Langue: anglais
• ISBN à 10 chiffres: 0387260455
• ISBN à 13 chiffres: 9780387260457
• Reliure: Couverture rigide
• Édition: 2ème Édition
• État de l'article: New

A propos de ce titre

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.

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.