Wendell H. Fleming,
Halil Mete Soner
Springer New York
2e druk, 2005
9780387260457
Controlled Markov Processes and Viscosity Solutions
Specificaties
Gebonden, 429 blz.
|
Engels
Springer New York |
2e druk, 2005
ISBN13: 9780387260457
Rubricering
Onderdeel van serie
Stochastic Modelling and Applied Probability
Levertijd ongeveer 9 werkdagen
Gratis verzonden
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
ISBN13:9780387260457
Taal:Engels
Bindwijze:gebonden
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.