Controlled Markov Processes and Viscosity Solutions

Wendell H. Fleming, Halil Mete Soner (Autoren)

Buch | Softcover

429 Seiten

2010 | Second Edition 2006
Springer-Verlag New York Inc.
978-1-4419-2078-2 (ISBN)

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This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding 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.

Deterministic Optimal Control.- Viscosity Solutions.- Optimal Control of Markov Processes: Classical Solutions.- Controlled Markov Diffusions in ?n.- Viscosity Solutions: Second-Order Case.- Logarithmic Transformations and Risk Sensitivity.- Singular Perturbations.- Singular Stochastic Control.- Finite Difference Numerical Approximations.- Applications to Finance.- Differential Games.

Erscheint lt. Verlag	19.11.2010
Reihe/Serie	Stochastic Modelling and Applied Probability ; 25
Zusatzinfo	XVII, 429 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Informatik ► Theorie / Studium
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Technik ► Elektrotechnik / Energietechnik
	Wirtschaft ► Betriebswirtschaft / Management
ISBN-10	1-4419-2078-1 / 1441920781
ISBN-13	978-1-4419-2078-2 / 9781441920782
Zustand	Neuware