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Controlled Markov Processes and Viscosity Solutions

Controlled Markov Processes and Viscosity Solutions

Halil Mete Soner / Wendell H. Fleming

243,84 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2010
Materia
Finanzas
ISBN:
9781441920782
243,84 €
IVA incluido
Disponible

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Sobre IBD

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.

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