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	Non disponible
ISBN 13	9780387260457
ISBN 10	0387260455
Titre	Controlled Markov Processes and Viscosity Solutions
Auteur	Wendell H Fleming
Série	Stochastic Modelling And Applied Probability
État	Non disponible
Type de reliure	Hardback
Éditeur	Springer-Verlag New York Inc.
Année de publication	2005-11-17
Nombre de pages	429
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible