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...
Bewaard in:
| Hoofdauteurs: | , |
|---|---|
| Formaat: | Livre numérique |
| Taal: | Anglais |
| Gepubliceerd in: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| Editie: | 2nd edition. |
| Reeks: | Stochastic modelling and applied probability
25 |
| Onderwerpen: | |
| Online toegang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Opmerking: |
Description d'après consultation du 16 mars 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Controlled Markov processes and viscosity solutions, Wendell H. Fleming, H. Mete Soner, 2nd edition, 2006, New York, Springer, 1 vol. (XVII-428 p.), Stochastic modelling and applied probability, 978-0387-26045-7 |
Inhoudsopgave:
- 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.