Controlled Markov Processes and Viscosity Solutions
Wendell H. Fleming
ISBN 10: 1441920781 ISBN 13: 9781441920782
Edité par Springer-Verlag New York Inc., 2010
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A propos de cet article
Description :
Series: Stochastic Modelling and Applied Probability. Num Pages: 446 pages, biography. BIC Classification: PBT; PBWL; PDE; TBJ. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 23. Weight in Grams: 682. . 2010. Softcover reprint of hardcover 2nd ed. 2006. Paperback. . . . . N° de réf. du vendeur V9781441920782
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.
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Titre : Controlled Markov Processes and Viscosity ...
Éditeur : Springer-Verlag New York Inc.
Date d'édition : 2010
Reliure : Couverture souple
Etat : New
Edition : 2ème Édition
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Controlled Markov Processes and Viscosity Solutions
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ISBN 10 : 1441920781
ISBN 13 : 9781441920782
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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 4172616
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
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Controlled Markov Processes and Viscosity Solutions
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Springer New York, Springer US Nov 2010, 2010
ISBN 10 : 1441920781
ISBN 13 : 9781441920782
Neuf
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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. 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 9781441920782
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Controlled Markov Processes and Viscosity Solutions
Edité par
Springer New York Nov 2010, 2010
ISBN 10 : 1441920781
ISBN 13 : 9781441920782
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. 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 9781441920782
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
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Etat : New. N° de réf. du vendeur ABLIING23Mar2411530293872
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Controlled Markov Processes and Viscosity Solutions
Edité par
Springer New York, Springer US, 2010
ISBN 10 : 1441920781
ISBN 13 : 9781441920782
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. 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 9781441920782
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Etat : New. Print on Demand pp. 448 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. N° de réf. du vendeur 5857598
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
Edité par
Springer, 2009
ISBN 10 : 1441920781
ISBN 13 : 9781441920782
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