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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)
ISBN-13:
9780387260457
ISBN-10:
0387260455
Edition:
2nd
Author:
Wendell H. Fleming, Halil Mete Soner
Publication date:
2005
Publisher:
Springer
Format:
Hardcover
446 pages
Category:
Finance
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Book details
ISBN-13:
9780387260457
ISBN-10:
0387260455
Edition:
2nd
Author:
Wendell H. Fleming, Halil Mete Soner
Publication date:
2005
Publisher:
Springer
Format:
Hardcover
446 pages
Category:
Finance
Summary
Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25) (ISBN-13: 9780387260457 and ISBN-10: 0387260455), written by authors
Wendell H. Fleming, Halil Mete Soner, was published by Springer in 2005.
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Description
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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