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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| Hlavní autoři: | , |
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| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Vydání: | 1st ed. 2011. |
| Edice: | Universitext
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| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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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 |
Obsah:
- 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