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Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming

Controlled Markov Processes and Viscosity Solutions By Wendell H. Fleming

Controlled Markov Processes and Viscosity Solutions by Wendell H. Fleming


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Summary

This book is an introduction to optimal stochastic control for continuous time Markov processes and the 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.

Controlled Markov Processes and Viscosity Solutions Summary

Controlled Markov Processes and Viscosity Solutions by Wendell H. Fleming

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.

Table of Contents

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.

Additional information

NPB9780387260457
9780387260457
0387260455
Controlled Markov Processes and Viscosity Solutions by Wendell H. Fleming
New
Hardback
Springer-Verlag New York Inc.
2005-11-17
429
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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