Controlled Markov Processes and Viscosity Solutions

Name: Controlled Markov Processes and Viscosity Solutions
Price: 169.08 USD
Availability: InStock
ISBN: 9780387260457

ISBN-10: 0387260455

ISBN-13: 9780387260457

Edition: 2nd 2006 (Revised)

Authors: Wendell H. Fleming, H. M. Soner

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Description:

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk…

Book details

Edition: 2nd
Copyright year: 2006
Publisher: Springer
Publication date: 11/17/2005
Binding: Hardcover
Pages: 429
Size: 6.25" wide x 9.25" long x 1.00" tall
Weight: 1.584
Language: English




Deterministic optimal control



Viscosity solutions



Optimal control of Markov processes : classical solutions



Controlled Markov diffusions in IR[superscript n]



Viscosity solutions : second-order case



Logarithmic transformations and risk sensitivity



Singular perturbations



Singular stochastic control



Finite difference numerical approximations



Applications to finance



Differential games



Duality relationships



Dynkin's formula for random evolutions with Markov chain parameters



Extension of Lipschitz continuous functions; smoothing



Stochastic differential equations : random coefficients