CONTROLLED MARKOV PROCESSES AND VISCOSITY SOLUTIONS by Wendell H. Fleming, Halil Mete Soner ( 9780387260457 )

Item Details

Title:

CONTROLLED MARKOV PROCESSES AND VISCOSITY SOLUTIONS

By:

Wendell H. Fleming, Halil Mete Soner

Format:

Hardback

List price:

£149.99

Our price:

£127.49

Discount:

15% off

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£22.50

ISBN 10:

0387260455

ISBN 13:

9780387260457

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Publisher:

SPRINGER-VERLAG NEW YORK INC.

Pub. date:

1 November, 2005

Edition:

2nd ed. 2006

Series:

Stochastic Modelling and Applied Probability 25

Pages:

429

Description:

This book is an introduction to optimal stochastic control for continuous time Markov processes and the 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.

Synopsis:

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.

Illustrations:

XVII, 429 p.

Publication:

Imprint:

Springer-Verlag New York Inc.

Returns:

Non-returnable

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