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Controlled Markov Processes and Viscosity Solutions
Av Halil Mete Soner, Wendell H. Fleming, 2005.Del av serien Stochastic Modelling and Applied Probability.
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.
Språk: Engelsk
Normalpris: 2 029,-
1 826,-
Spar 203,-
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Controlled Markov Processes and Viscosity Solutions
Av Halil Mete Soner, Wendell H. Fleming, 2005.Del av serien Stochastic Modelling and Applied Probability.
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.
Oppdag mer
Normalpris: 2 029,-
1 826,-
Spar 203,-
Språk: Engelsk
Ikke tilgjengelig for Klikk&Hent
Midlertidig tomt på lager
Bestillingsvare. Forventes sendt om ca 20 dager
1 826,-
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