Markov decision processes with applications to finance
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....
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| Main Authors: | , |
|---|---|
| Format: | Livre numérique |
| Language: | Anglais |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edition: | 1st ed. 2011. |
| Series: | Universitext
|
| Online Access: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Description d'après consultation du 26 février 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Markov decision processes with applications to finance, Nicole Bäuerle, Ulrich Rieder, Berlin, Springer, 2011, 1 vol. (XVI-388 p.), Universitext, 978-3-642-18323-2 |
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| 009 | PPN153870125 | ||
| 020 | |a 9783642183249 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519.2 | ||
| 084 | |a 90C40. 2010 | ||
| 084 | |a 93E20. 2010 | ||
| 100 | 1 | |a Bäuerle, Nicole. | |
| 245 | 1 | 0 | |a Markov decision processes with applications to finance |c by Nicole Bäuerle, Ulrich Rieder. |
| 250 | |a 1st ed. 2011. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Universitext |x 2191-6675 | |
| 500 | |a Description d'après consultation du 26 février 2013 | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | 1 | |a Preface 1.Introduction and First Examples Part I Finite Horizon Optimization Problems and Financial Markets 2.Theory of Finite Horizon Markov Decision Processes 3.The Financial Markets 4.Financial Optimization Problems Part II Partially Observable Markov Decision Problems 5.Partially Observable Markov Decision Processes 6.Partially Observable Markov Decision Problems in Finance Part III Infinite Horizon Optimization Problems 7.Theory of Infinite Horizon Markov Decision Processes 8.Piecewise Deterministic Markov Decision Processes 9.Optimization Problems in Finance and Insurance Part IV Stopping Problems 10.Theory of Optimal Stopping Problems 11.Stopping Problems in Finance Part V Appendix A.Tools from Analysis B.Tools from Probability C.Tools from Mathematical Finance References Index | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions). | ||
| 700 | 1 | |a Rieder, Ulrich. |4 aut | |
| 776 | 0 | |0 154503851 |t Markov decision processes with applications to finance |f Nicole Bäuerle, Ulrich Rieder |c Berlin |n Springer |d 2011 |p 1 vol. (XVI-388 p.) |s Universitext |z 978-3-642-18323-2 | |
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| 997 | |0 968943 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||