Controlled Markov Processes and Viscosity Solutions by Wendell H Fleming

Controlled Markov Processes and Viscosity Solutions by Wendell H Fleming

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.

SKU	Unavailable
ISBN 13	9780387260457
ISBN 10	0387260455
Title	Controlled Markov Processes and Viscosity Solutions
Author	Wendell H Fleming
Series	Stochastic Modelling And Applied Probability
Condition	Unavailable
Binding Type	Hardback
Publisher	Springer-Verlag New York Inc.
Year published	2005-11-17
Number of pages	429
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable