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Controlled Markov Processes and Viscosity Solutions

af Wendell H. Fleming, Halil Mete Soner

indgår i Stochastic Modelling and Applied Probability serien

Controlled Markov Processes and Viscosity Solutions af Wendell H. Fleming
Bag om 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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780387260457
  • Indbinding:
  • Hardback
  • Sideantal:
  • 429
  • Udgivet:
  • 17. november 2005
  • Udgave:
  • 22006
  • Størrelse:
  • 304x166x33 mm.
  • Vægt:
  • 834 g.
  • 8-11 hverdage.
  • 27. november 2024
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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.

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