Automation

Controlled Markov Processes and Viscosity Solutions

Name: Controlled Markov Processes and Viscosity Solutions
Brand: Springer
SKU: 9780387260457
Price: 17657.00 INR
Availability: InStock
ISBN: 9780387260457

CONTROLLED MARKOV PROCESSES &

Contributor(s): Fleming, Wendell H. Author , Soner, Halil Mete Author Format: Hardback

Hardback · ISBN 9780387260457

₹17,657 2%

₹18,059

Inclusive of GST and other taxes

100% Quality Assurance

No Account Creation Required

Fast Delivery

Secured Transactions

Arriving at your doorstep in 10-15 days

Our logisitcs team will make sure everyitem is delivered safely

Key Specifications

ISBN	9780387260457
Subtitle	CONTROLLED MARKOV PROCESSES &
Publisher	Springer
Publication date	November 2005
Language	English
MRP	£139.99 GBP
Page count	448
Item weight	177 g

This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors use illustrative examples and selective material to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance.

Controlled Markov Processes and Viscosity Solutions

Key Specifications

Fleming, Wendell H. Author

Soner, Halil Mete Author

Related titles