Title:
Controlled Markov processes and viscosity solutions
Personal Author:
Series:
Applications of mathematics ; 25
Edition:
2nd ed.
Publication Information:
New York, NY : Springer, 2006
ISBN:
9780387260457
Added Author:
Available:*
Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
|---|---|---|---|---|---|
Searching... | 30000010105703 | QA274.7 F53 2006 | Open Access Book | Book | Searching... |
On Order
Summary
Summary
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.
