Untertitel:: Stochastic Modelling and Applied Probability
Verlag:: Springer New York
Erschienen:: 04.02.2006
Seitenanzahl:: 429
ISBN:: 0387310711
EAN:: 9780387310718
Format:: eBook
Schutz:: Adobe-DRM
Downloadzeit:: Maximaler Downloadzeitraum: 24 Monate

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Controlled Markov Processes and Viscosity Solutions

Wendell H. Fleming / Halil Mete Soner

<P>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. </P>