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Controlled Markov Processes And Viscosity Solutions Stochastic Modelling And Applied Probability 2nd Wendell H Fleming

SKU: BELL-2528200

$ 31.00 ~~$ 45.00~~ (-31%)

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Controlled Markov Processes And Viscosity Solutions Stochastic Modelling And Applied Probability 2nd Wendell H Fleming instant download after payment.

Publisher: Springer

File Extension: PDF

File size: 2.77 MB

Pages: 446

Author: Wendell H. Fleming, Halil Mete Soner

ISBN: 0387260455

Language: English

Year: 2005

Edition: 2nd

Product desciption

Controlled Markov Processes And Viscosity Solutions Stochastic Modelling And Applied Probability 2nd Wendell H Fleming by Wendell H. Fleming, Halil Mete Soner 0387260455 instant download after payment.

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.