Controlled Markov Processes and Viscosity Solutions e-bog
1313,81 DKK
(inkl. moms 1642,26 DKK)
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...
E-bog
1313,81 DKK
Forlag
Springer
Udgivet
4 februar 2006
Genrer
Cybernetics and systems theory
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9780387310718
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.