Controlled Markov Processes and Viscosity Solutions

Name: Controlled Markov Processes and Viscosity Solutions
Brand: Springer-Verlag New York Inc.
SKU: 9780387260457
Price: 4138 CZK
Availability: InStock

Autor: Wendell H. Fleming, H. Mete Soner

Jazyk:

Vazba: Pevná

Vydavatel: Springer-Verlag New York Inc.

Dostupnost: Skladem u dodavatele

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4 138 Kč

This book is intended as an introduction to optimal stochastic control for continuous time Markov pr...

Informace o knize

Autor

Wendell H. Fleming, H. Mete Soner

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2005

Stránek

429

EAN

9780387260457

ISBN

0387260455

Enbook ID

01381364

Vydavatel

Springer-Verlag New York Inc.

Hmotnost

834

Rozměry

304 x 166 x 33

Kompletní popis

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through 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. In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.

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Controlled Markov Processes and Viscosity Solutions

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