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  • - Proceedings of the Conference held in Rome, Italy, March 26-28, 1984
    af Italo Capuzzo Dolcetta
    404,95 kr.

  • af Wendell H. Fleming & Halil Mete Soner
    2.001,95 - 2.010,95 kr.

    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.

  • af Wendell H. Fleming
    213,95 kr.

    In that case, the dynamic programming equation is a nonlinear partial differential equation of second order elliptic or parabolic type. From the viewpoint of nonlinear evolution equations, the interest is in whether one can find some stochastic control problem for which the given evolution equation is the dynamic programming equation.