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Controlled Markov Processes and Viscosity Solutions
- Binding:
- Hardback
- Pages:
- 429
- Published:
- November 16, 2005
- Edition:
- 22006
- Dimensions:
- 304x166x33 mm.
- Weight:
- 834 g.
Delivery:
2-3 weeks
Expected delivery: December 5, 2024
Description of Controlled Markov Processes and Viscosity Solutions
This book is an introduction to optimal stochastic control for continuous time Markov processes and the 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.
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