Controlled Markov Processes and Viscosity Solutions
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ISBN-13:
9781441920782
Veröffentl:
2010
Einband:
Paperback
Erscheinungsdatum:
19.11.2010
Seiten:
448
Autor:
Halil Mete Soner
Gewicht:
674 g
Format:
235x155x25 mm
Serie:
25, Stochastic Modelling and Applied Probability
Sprache:
Englisch
Beschreibung:
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.
Deterministic Optimal Control.- Viscosity Solutions.- Optimal Control of Markov Processes: Classical Solutions.- Controlled Markov Diffusions in ?n.- Viscosity Solutions: Second-Order Case.- Logarithmic Transformations and Risk Sensitivity.- Singular Perturbations.- Singular Stochastic Control.- Finite Difference Numerical Approximations.- Applications to Finance.- Differential Games.
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