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.
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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.
Imprint | Springer-Verlag New York |
Country of origin | United States |
Series | Stochastic Modelling and Applied Probability, 25 |
Release date | November 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2006 |
Authors | Wendell H. Fleming, Halil Mete Soner |
Dimensions | 235 x 155 x 28mm (L x W x T) |
Format | Paperback |
Pages | 429 |
Edition | Softcover reprint of hardcover 2nd ed. 2006 |
ISBN-13 | 978-1-4419-2078-2 |
Barcode | 9781441920782 |
Categories | |
LSN | 1-4419-2078-1 |