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Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability Softcover reprint of hardcover 2nd ed. 2006 edition
Wendell H. Fleming
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Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability Softcover reprint of hardcover 2nd ed. 2006 edition
Wendell H. Fleming
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.
448 pages, black & white illustrations
| Medie | Bøger Paperback Bog (Bog med blødt omslag og limet ryg) |
| Udgivet | 19. november 2010 |
| ISBN13 | 9781441920782 |
| Forlag | Springer-Verlag New York Inc. |
| Antal sider | 429 |
| Mål | 235 × 156 × 28 mm · 621 g |
| Sprog | Engelsk |
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