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Controlled Markov Processes and Viscosity Solutions (Softcover reprint of hardcover 2nd edition 2006)

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Controlled Markov Processes and Viscosity Solutions - Fleming, Wendell H., and Soner, Halil Mete
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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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Controlled Markov Processes and Viscosity Solutions 2010, Springer-Verlag New York Inc., New York, NY

ISBN-13: 9781441920782

Softcover reprint of hardcover 2nd edition 2006

Paperback

Controlled Markov Processes and Viscosity Solutions 2005, Springer, New York, NY

ISBN-13: 9780387260457

2nd 2006 edition

Hardcover

Controlled Markov Processes and Viscosity Solutions 1992, Springer, New York, NY

ISBN-13: 9780387979274

Hardcover