ENGLISH

Markov decision processes with applications to finance

By Nicole Bäuerle , Ulrich Rieder (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2011
ISBN
978-3-642-18324-9, 3642183247, 978-3-642-18323-2
DOI
10.1007/978-3-642-18324-9
Language
english
Format
PDF
Filesize
4 MB (3712819 bytes)
Series
Universitext
Edition
1
Pages
388\405
Time added
2014-06-12 06:00:00
Probability Theory and Stochastic Processes; Quant

Description

The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).

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