Controlled Markov Processes and Viscosity Solutions by Wendell H Fleming

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Controlled Markov Processes and Viscosity Solutions by Wendell H Fleming

Regular price $199.99
Condition - New
40+ In stock
Regular price $199.99
Condition - New
40+ In stock

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Summary

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.

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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.
SKU NIN9780387260457
ISBN 13 9780387260457
ISBN 10 0387260455
Title Controlled Markov Processes and Viscosity Solutions
Author Wendell H Fleming
Series Stochastic Modelling And Applied Probability
Condition New
Publisher Springer-Verlag New York Inc.
Year published 2005-11-17
Number of pages 429
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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