Controlled Markov Processes and Viscosity Solutions
2nd Edition
Published on 4. February 2006
XVII, 429 pages
978-0-387-31071-8 (ISBN)
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.
More details
Other editions
Additional editions
Wendell H. Fleming | Halil Mete Soner
Controlled Markov Processes and Viscosity Solutions
Book
11/2005
2nd Edition
Springer
€181.89
Shipment within 5-7 days
Content
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.
