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Controlled Markov Processes And Viscosity Solutions
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ISBN 9781441920782
REGISTERED: 02/09/18
UPDATED: 11/13/19
Controlled Markov Processes And Viscosity Solutions

This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions


Specifications
  • Controlled Markov Processes And Viscosity Solutions available on March 26 2017 from Indigo for 219.95
  • ISBN bar code 9781441920782 ξ2 registered March 26 2017
  • ISBN bar code 9781441920782 ξ1 registered February 28 2015
  • Product category is Book

  • # 978144192078

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.


References
    ^ Controlled Markov Processes and Viscosity Solutions 25 by Wendell H. Fleming and Halil Mete Soner (2010, Paperback) (revised Mar 2015)
    ^ Controlled Markov Processes And Viscosity Solutions Indigo. (revised Mar 2017)

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