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Boekhandel Douwes Den Haag

Stochastic Modelling and Applied Probability

Controlled Markov Processes and Viscosity Solutions

Wendell H. Fleming & Halil Mete Soner

Controlled Markov Processes and Viscosity Solutions

Stochastic Modelling and Applied Probability

Controlled Markov Processes and Viscosity Solutions

Stochastic Modelling and Applied Probability: Controlled Markov Processes and Viscosity Solutions

 

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.

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Beschrijving Stochastic Modelling and Applied Probability: Controlled Markov Processes and Viscosity Solutions

This book is an introduction to optimal stochastic control for continuous time Markov processes and the 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.

ISBN
9780387260457
Pagina's
429
Verschenen
Serie
Stochastic Modelling and Applied Probability
NUR
910
Druk
1
Uitvoering
Hardback
Taal
Engels
Uitgever
Springer-Verlag New York Inc.

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