Controlled Markov Processes and Viscosity Solutions
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...
Κύριοι συγγραφείς: | , |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
New York, NY :
Springer New York,
2006.
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Έκδοση: | Second Edition. |
Σειρά: | Stochastic Modelling and Applied Probability,
25 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
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.