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Controlled Markov Processes and Viscosity Solutions
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Controlled Markov Processes and Viscosity Solutions (Hardback)

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Synopsis

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.

Science & MathematicsMathematicsProbability & statistics Publisher: Springer-Verlag New York Inc. Publication Date: 17/11/2005 ISBN-13: 9780387260457  Details: Type: Hardback Format: Books
Availability: Currently unavailable to order online.  

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