Controlled Markov Processes and Viscosity Solutions

Controlled Markov Processes and Viscosity Solutions
Author :
Publisher : Springer Science & Business Media
Total Pages : 436
Release :
ISBN-13 : 9780387310718
ISBN-10 : 0387310711
Rating : 4/5 (11 Downloads)

Book Synopsis Controlled Markov Processes and Viscosity Solutions by : Wendell H. Fleming

Download or read book Controlled Markov Processes and Viscosity Solutions written by Wendell H. Fleming and published by Springer Science & Business Media. This book was released on 2006-02-04 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


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