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Controlled Markov Processes and Viscosity Solutions (Hardcover, 2nd ed. 2006) Loot Price: R4,902
Discovery Miles 49 020
Repayment Terms: R459 pm x 12*
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Controlled Markov Processes and Viscosity Solutions (Hardcover, 2nd ed. 2006): Wendell H. Fleming, Halil Mete Soner

Controlled Markov Processes and Viscosity Solutions (Hardcover, 2nd ed. 2006)

Wendell H. Fleming, Halil Mete Soner

Series: Stochastic Modelling and Applied Probability, 25

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Loot Price R4,902 Discovery Miles 49 020 | Repayment Terms: R459 pm x 12*

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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.

General

Imprint: Springer-Verlag New York
Country of origin: United States
Series: Stochastic Modelling and Applied Probability, 25
Release date: November 2005
First published: 2006
Authors: Wendell H. Fleming • Halil Mete Soner
Dimensions: 235 x 155 x 33mm (L x W x T)
Format: Hardcover
Pages: 429
Edition: 2nd ed. 2006
ISBN-13: 978-0-387-26045-7
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
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LSN: 0-387-26045-5
Barcode: 9780387260457

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