Controlled Markov processes and viscosity solutions
Author(s)
Bibliographic Information
Controlled Markov processes and viscosity solutions
（Stochastic modelling and applied probability, 25）
Springer-Verlag, c2006
2nd ed
- : pbk.
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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.
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