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.
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Add this copy of Controlled Markov Processes and Viscosity Solutions to cart. $183.87, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2010 by Springer-Verlag New York Inc..
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Add this copy of Controlled Markov Processes and Viscosity Solutions to cart. $224.44, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2010 by Springer.
