Deterministic and Stochastic Optimal Control
Wendell H. Fleming, Raymond W. Rishel
Inbunden, 1975
1 834 kr
Controlled Markov Processes and Viscosity Solutions
AvWendell H. Fleming,Halil Mete Soner
Häftad, Engelska, 2010
Del 25 i serien Stochastic Modelling and Applied Probability
1 834 kr
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Beskrivning
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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