Controlled Markov Processes and Viscosity Solutions (2nd ed. 2006) (Stochastic Modelling and Applied Probability #25)
By: and
Sign Up Now!
Already a Member? Log In
You must be logged into UK education collection to access this title.
Learn about membership options,
or view our freely available titles.
- Synopsis
- 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.
- Copyright:
- 2006
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9780387310718
- Related ISBNs:
- 9780387260457
- Publisher:
- Springer New York
- Date of Addition:
- 02/08/21
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Science, Business and Finance, Technology, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
Reviews
Other Books
- by Wendell H. Fleming
- by Halil Mete Soner
- in Nonfiction
- in Science
- in Business and Finance
- in Technology
- in Mathematics and Statistics