Controlled Markov Processes and Viscosity Solutions
Seiten
2005
|
2nd ed. 2006
Springer-Verlag New York Inc.
978-0-387-26045-7 (ISBN)
Springer-Verlag New York Inc.
978-0-387-26045-7 (ISBN)
Presents an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. This title covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions.
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.
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.
| 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 ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| Schlagworte | Markov-Prozesse |
| ISBN-10 | 0-387-26045-5 / 0387260455 |
| ISBN-13 | 978-0-387-26045-7 / 9780387260457 |
| Zustand | Neuware |
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