Name: Controlled Markov Processes and Viscosity Solutions
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Author: Wendell H. Fleming
ISBN: 9781441920782

Controlled Markov Processes and Viscosity Solutions af Wendell H. Fleming

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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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Sprog:
Engelsk

ISBN:
9781441920782

Forlag:
Springer-Verlag New York Inc.

Indbinding:
Paperback

Sideantal:
429

Udgivet:
19. november 2010

Udgave:
22006

Størrelse:
235x156x28 mm.

Vægt:
694 g.

Leveringstid: 8-11 hverdage.
Forventet levering: 27. november 2024

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1.978,95 kr.

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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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