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.

Dalla quarta di copertina:

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 dynamic programming. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data. The theory is illustrated by applications from engineering, management science, and financial economics.

In this second edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.

Review of the earlier edition:

"This book is highly recommended to anyone who wishes to learn the dinamic principle applied to optimal stochastic control for diffusion processes. Without any doubt, this is a fine book and most likely it is going to become a classic on the area... ."

SIAM Review, 1994

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Descrizione libreria

Hello! Ria Christie Collections is an online venture that was initially set up in 2012 to sell books. We do not have a physical high street store. We are professional online booksellers. We only sell brand new books in perfect condition that we source from various suppliers and the publishers. Primarily, our aim is to provide an excellent service to all our customers. We always work as a team to achieve this. Our other objectives are to: 1. Ensure that all our products reach their destination quickly in a safe and secure manner 2. Answer to all our customer queries within 24 hours 3. Ensure that our customers are happy with their purchases 4. Provide all the items at a competitive price 5. Always listen to our customers Ria Christie Collections is not a registered company. It is a Sole Trader venture. Other key information is shown below: Contact Person Name: Rakesh Luchmun (Mr) Storefront Name: Ria Christie Collections Place of Establishment Address: Suite B; ARUN House; ARUN Building Arundel Road Uxbridge UB8 2RR United Kingdom E-Mail Address: riachristie@hotmail.co.uk VAT Number: GB 160 5650 25 We always work hard and aim to comply with all of Abebooks Policies. If you have any issues, please do not hesitate to write to us whether before or after a purchase. We promise to reply to you promptly and, in any case, within 24 hours. Thank you kindly! Yours sincerely Mr Rakesh Luchmun (Founder) and the Ria Christie Collections Team

Visita la pagina della libreria

Informazioni sull?azienda del venditore

Ryefield Investments Limited
175 Pield Heath Road, Uxbridge, UB8 3NL, United Kingdom

Condizioni di vendita:

All Returns and Refund are as per Abebooks policies.

Condizioni di spedizione:

Orders usually ship within 2 business days. If your book order is heavy or oversized, we may contact you to let you know extra shipping is required. Thank you!

Metodi di pagamento
accettati dalla libreria

Aggiungi ai desiderata

Articoli correlati a Controlled Markov Processes and Viscosity Solutions...

Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability, 25)

Fleming, Wendell H. H.; Soner, Halil Mete

Nuovi - Brossura

Informazioni sull?azienda del venditore