Utvidet returrett til 31. januar 2025

Controlled Markov Processes and Viscosity Solutions

Om Controlled Markov Processes and Viscosity Solutions

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.

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  • Språk:
  • Engelsk
  • ISBN:
  • 9781441920782
  • Bindende:
  • Paperback
  • Sider:
  • 429
  • Utgitt:
  • 19. november 2010
  • Utgave:
  • 22006
  • Dimensjoner:
  • 235x156x28 mm.
  • Vekt:
  • 694 g.
  • BLACK NOVEMBER
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 18. desember 2024

Beskrivelse av Controlled Markov Processes and Viscosity Solutions

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.

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