Controlled Markov Processes and Viscosity Solutions (e-bog) af Soner, Halil Mete
Soner, Halil Mete (forfatter)

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
Forfattere Soner, Halil Mete (forfatter)
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.