Wendell H. Fleming,
Halil Mete Soner
Springer New York
2e druk, 2010
9781441920782
Controlled Markov Processes and Viscosity Solutions
Specificaties
Paperback, 429 blz.
|
Engels
Springer New York |
2e druk, 2010
ISBN13: 9781441920782
Rubricering
Onderdeel van serie
Stochastic Modelling and Applied Probability
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9781441920782
Taal:Engels
Bindwijze:paperback
Aantal pagina's:429
Uitgever:Springer New York
Druk:2
Inhoudsopgave
Deterministic Optimal Control.- Viscosity Solutions.- Optimal Control of Markov Processes: Classical Solutions.- Controlled Markov Diffusions in ?n.- Viscosity Solutions: Second-Order Case.- Logarithmic Transformations and Risk Sensitivity.- Singular Perturbations.- Singular Stochastic Control.- Finite Difference Numerical Approximations.- Applications to Finance.- Differential Games.