Title Controlled Markov processes and viscosity solutions / Wendell H. Fleming, H. Mete Soner

Edition 2nd ed Published New York : Springer, ©2006

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Description 1 online resource (428 pages) Series Stochastic modelling and applied probability ; 25 Stochastic modelling and applied probability ; 25. Contents Deterministic Optimal Control; Viscosity Solutions; Optimal Control of Markov Processes: Classical Solutions; Controlled Markov Diffusions in Rn; Viscosity Solutions: Second-Order Case; Logarithmic Transformations and Risk Sensitivity; Singular Perturbations; Singular Stochastic Control; Finite Difference Numerical Approximations; Applications to Finance; Differential Games Summary Presents an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. This book covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions Bibliography Includes bibliographical references (pages 409-423) and index Notes Print version record In Springer e-books Subject Markov processes. Stochastic control theory. Viscosity solutions. Distribution (Probability theory) Finance. Markov Chains distribution (statistics-related concept) finance. MATHEMATICS -- Probability & Statistics -- Stochastic Processes. Stochastic control theory. Viscosity solutions. Markov processes. Markov, Procesos de Control estocástico, Teoría de Markov processes Stochastic control theory Viscosity solutions Form Electronic book Author Soner, H. Mete ISBN 9780387310718 0387310711 0387260455 9780387260457

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