Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)

✍ Scribed by Wendell H. Fleming, Halil Mete Soner

Publisher: Springer
Year: 2005
Tongue: English
Leaves: 436
Category: Library

No coin nor oath required. For personal study only.

✦ 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.

📜 SIMILAR VOLUMES

Controlled Markov Processes and Viscosit

📁 Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)

✍ Wendell H. Fleming, Halil Mete Soner 📂 Library 📅 2005 🏛 Springer 🌐 English

Hidden Markov Models: Estimation and Con

📁 Hidden Markov Models: Estimation and Control (Stochastic Modelling and Applied Probability)

✍ Robert J. Elliott, Lakhdar Aggoun, John B. Moore 📂 Library 📅 1994 🏛 Springer 🌐 English

Hidden Markov Models: Estimation and Con

📁 Hidden Markov Models: Estimation and Control (Stochastic Modelling and Applied Probability)

✍ Robert J. Elliott, Lakhdar Aggoun, John B. Moore 📂 Library 📅 1994 🏛 Springer 🌐 English

The aim of this book is to present graduate students with a thorough survey of reference probability models and their applications to optimal estimation and control. These new and powerful methods are particularly useful in signal processing applications where signal models are only partially known

Cycle Representations of Markov Processe

📁 Cycle Representations of Markov Processes (Stochastic Modelling and Applied Probability)

✍ Sophia L. Kalpazidou 📂 Library 📅 2006 🌐 English

This book is a prototype providing new insight into Markovian dependence via the cycle decompositions. It presents a systematic account of a class of stochastic processes known as cycle (or circuit) processes - so-called because they may be defined by directed cycles. These processes have special an

Controlled Markov Processes and Viscosit

📁 Controlled Markov Processes and Viscosity Solutions

✍ Wendell H. Fleming, Halil Mete Soner 📂 Library 📅 2005 🏛 Springer 🌐 English

<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 seco

Controlled Markov Processes and Viscosit

📁 Controlled Markov Processes and Viscosity Solutions

✍ Wendell H. Fleming, Halil Mete Soner 📂 Library 📅 2006 🏛 Springer 🌐 English

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dyna