Controlled Markov processes and viscosity solutions

Author(s)

• Fleming, Wendell Helms
• Soner, H. Mete

Bibliographic Information

Controlled Markov processes and viscosity solutions

Wendell H. Fleming, H. Mete Soner

（Stochastic modelling and applied probability, 25）

Springer-Verlag, c2006

2nd ed

Note

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

Description and Table of Contents

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.

Table of Contents

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.

by "Nielsen BookData"

Details

• NCID: BA75069578
• ISBN:
  • 0387260455
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: New York
• Pages/Volumes: xvii, 428 p.
• Size: 24 cm
• Classification:
  • LCC : QA274.7
• Subject Headings:
  • LCSH : Markov processes
  • LCSH : Stochastic control theory
  • LCSH : Viscosity solutions
• Parent Bibliography ID:
  • BA70424457