Markov Decision Processes with Applications to Finance

• Main Authors: Bäuerle, Nicole (Author), Rieder, Ulrich (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
• Series: Universitext,
• Subjects: Mathematics.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Probabilities.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Applications of Mathematics.

The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research....