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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability Book 25)
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Product details
| Management number | 231882524 | Release Date | 2026/06/18 | List Price | $49.88 | Model Number | 231882524 | ||
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| Category | |||||||||
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. Read more
| ASIN | B00FPZ0P8C |
|---|---|
| XRay | Not Enabled |
| Format | Print Replica |
| ISBN13 | 978-0387310718 |
| Edition | 2nd |
| Language | English |
| File size | 7.7 MB |
| Page Flip | Not Enabled |
| Publisher | Springer |
| Word Wise | Not Enabled |
| Print length | 446 pages |
| Accessibility | Learn more |
| Part of series | Stochastic Modelling and Applied Probability |
| Publication date | February 4, 2006 |
| Enhanced typesetting | Not Enabled |
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