| Controlled Markov Processes and Viscosity Solutions Contributor(s): Fleming, Wendell H. (Author), Soner, Halil Mete (Author) |
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ISBN: 1441920781 ISBN-13: 9781441920782 Publisher: Springer OUR PRICE: $189.99 Product Type: Paperback - Other Formats Published: November 2010 |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Mathematics | Probability & Statistics - General - Mathematics | Applied |
| Dewey: 519.233 |
| Series: Stochastic Modelling and Applied Probability |
| Physical Information: 0.91" H x 6.14" W x 9.21" (1.37 lbs) 429 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |