Controlled Markov processes and viscosity solutions

著者

• Fleming, Wendell Helms
• Soner, H. Mete

書誌事項

Controlled Markov processes and viscosity solutions

Wendell H. Fleming, H. Mete Soner

（Stochastic modelling and applied probability, 25）

Springer-Verlag, c2006

2nd ed

注記

Includes bibliographical references (p. [409]-423) and index

内容説明・目次

内容説明

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.

目次

Deterministic Optimal Control.- Viscosity Solutions.- Optimal Control of Markov Processes: Classical Solutions.- Controlled Markov Diffusions in ?n.- Viscosity Solutions: Second-Order Case.- Logarithmic Transformations and Risk Sensitivity.- Singular Perturbations.- Singular Stochastic Control.- Finite Difference Numerical Approximations.- Applications to Finance.- Differential Games.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA75069578
• ISBN:
  • 0387260455
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: New York
• ページ数/冊数: xvii, 428 p.
• 大きさ: 24 cm
• 分類:
  • LCC : QA274.7
• 件名:
  • LCSH : Markov processes
  • LCSH : Stochastic control theory
  • LCSH : Viscosity solutions
• 親書誌ID:
  • BA70424457