ENGLISH

Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)

By Halil Mete Soner , Wendell H. Fleming

Book information

Publisher
Springer
Year
2005
ISBN
0387260455, 9780387260457
Open Library ID
OL7444918M
Language
english
Format
PDF
Filesize
3 MB (2905501 bytes)
Edition
2nd
Pages
446\446
Orientation
yes
Scanned
no
Time added
2012-03-17 06:00:00

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.

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