Controlled Markov Processes and Viscosity Solutions by Wendell H Fleming

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Controlled Markov Processes and Viscosity Solutions by Wendell H Fleming

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Part of Stochastic Modelling And Applied Probability series

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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.

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SKU Unavailable
ISBN 13 9781441920782
ISBN 10 1441920781
Title Controlled Markov Processes and Viscosity Solutions
Author Wendell H Fleming
Series Stochastic Modelling And Applied Probability
Condition Unavailable
Binding Type Paperback
Publisher Springer-Verlag New York Inc.
Year published 2010-11-19
Number of pages 429
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.