Controlled Markov Processes and Viscosity Solutions
Author:   Wendell H. Fleming ,  Halil Mete Soner
Publisher:   Springer-Verlag New York Inc.
Edition:   Second Edition 2006
Volume:   25
ISBN:  

9781441920782


Pages:   429
Publication Date:   19 November 2010
Format:   Paperback
Availability:   Out of print, replaced by POD   Availability explained
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Controlled Markov Processes and Viscosity Solutions


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Overview

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.

Full Product Details

Author:   Wendell H. Fleming ,  Halil Mete Soner
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Second Edition 2006
Volume:   25
Dimensions:   Width: 15.50cm , Height: 2.30cm , Length: 23.50cm
Weight:   0.682kg
ISBN:  

9781441920782


ISBN 10:   1441920781
Pages:   429
Publication Date:   19 November 2010
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of print, replaced by POD   Availability explained
We will order this item for you from a manufatured on demand supplier.

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