Controlled Markov Processes and Viscosity Solutions

• Κύριοι συγγραφείς: Fleming, Wendell H. (Συγγραφέας), Soner, H.M (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: New York, NY : Springer New York, 2006.
• Έκδοση: Second Edition.
• Σειρά: Stochastic Modelling and Applied Probability, 25
• Θέματα: Mathematics.; Operations research.; Decision making.; Economics, Mathematical.; System theory.; Probabilities.; Control engineering.; Robotics.; Mechatronics.; Probability Theory and Stochastic Processes.; Systems Theory, Control.; Control, Robotics, Mechatronics.; Operation Research/Decision Theory.; Quantitative Finance.

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...

Πίνακας περιεχομένων:

• 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.