Controlled Markov Processes and Viscosity Solutions

Language: English

Published by Springer, Springer Nov 2005, 2005

0387260455 / 9780387260457

Series: Book 9 of 30 - Stochastic Modelling and Applied Probability

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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. 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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 448 pp. Englisch.…

Seller Inventory # 9780387260457

Title
Controlled Markov Processes and Viscosity Solutions
Author
Wendell H. Fleming
Publisher
Springer, Springer Nov 2005
Publication year
2005
Condition
Neu
Binding
Buch
Language
English
ISBN 10
0387260455
ISBN 13
9780387260457
Edition
2nd Edition
Item weight
834 grams
Dimensions
241x160x30 mm
Series
Book 9 of 30: Stochastic Modelling and Applied Probability

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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Impressum Thorsten Retsch Buchversand Mimpf2000 Oberölschnitz 16 95517 Emtmannsberg Deutschland Telefon: 09209-2023188 Email: mimpf2000@online.de USt-ID-Nr.: DE 235096871 Wir führen gebrauchte Bücher aus allen Sparten der Literatur

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