Téléchargez le livre : Controlled Markov Processes and Viscosity Solutions

Controlled Markov Processes and Viscosity Solutions

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Éditeur :

Springer


Collection :

Stochastic Modelling and Applied Probability

Paru le : 2006-02-04

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Description
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.
Pages
429 pages
Collection
Stochastic Modelling and Applied Probability
Parution
2006-02-04
Marque
Springer
EAN papier
9780387260457
EAN PDF
9780387310718
Informations sur l'ebook
Nombre pages copiables
4
Nombre pages imprimables
42
Taille du fichier
3072 Ko
Prix
168,79 €

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