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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
R5,021 Discovery Miles 50 210 Ships in 12 - 19 working days

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.

Deterministic and Stochastic Optimal Control (Hardcover, 1st ed. 1975. Corr. 2nd printing 1982): Wendell H. Fleming, Raymond W.... Deterministic and Stochastic Optimal Control (Hardcover, 1st ed. 1975. Corr. 2nd printing 1982)
Wendell H. Fleming, Raymond W. Rishel
R4,971 Discovery Miles 49 710 Ships in 12 - 19 working days

The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also inlcudes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

Mathematical Finance (Hardcover, 1995 ed.): Mark H.A. Davis, Darrell Duffie, Wendell H. Fleming, Steven Shreve Mathematical Finance (Hardcover, 1995 ed.)
Mark H.A. Davis, Darrell Duffie, Wendell H. Fleming, Steven Shreve
R4,430 Discovery Miles 44 300 Ships in 10 - 15 working days

Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this volume are based on recent research in methods in mathematical finance.

Deterministic and Stochastic Optimal Control (Paperback, Softcover reprint of the original 1st ed. 1975): Wendell H. Fleming,... Deterministic and Stochastic Optimal Control (Paperback, Softcover reprint of the original 1st ed. 1975)
Wendell H. Fleming, Raymond W. Rishel
R5,069 Discovery Miles 50 690 Ships in 10 - 15 working days

This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

Mathematical Finance (Paperback, Softcover reprint of the original 1st ed. 1995): Mark H.A. Davis, Darrell Duffie, Wendell H.... Mathematical Finance (Paperback, Softcover reprint of the original 1st ed. 1995)
Mark H.A. Davis, Darrell Duffie, Wendell H. Fleming, Steven Shreve
R4,348 Discovery Miles 43 480 Ships in 10 - 15 working days

Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this volume are based on recent research in methods in mathematical finance.

Controlled Markov Processes and Viscosity Solutions (Paperback, Softcover reprint of hardcover 2nd ed. 2006): Wendell H.... Controlled Markov Processes and Viscosity Solutions (Paperback, Softcover reprint of hardcover 2nd ed. 2006)
Wendell H. Fleming, Halil Mete Soner
R5,131 Discovery Miles 51 310 Ships in 10 - 15 working days

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.

Recent Mathematical Methods in Dynamic Programming - Proceedings of the Conference held in Rome, Italy, March 26-28, 1984... Recent Mathematical Methods in Dynamic Programming - Proceedings of the Conference held in Rome, Italy, March 26-28, 1984 (Paperback, 1985 ed.)
Italo Capuzzo-Dolcetta, Wendell H. Fleming, Tullio Zolezzi
R1,146 Discovery Miles 11 460 Ships in 10 - 15 working days
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