Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability - Wendell H. Fleming - Books - Springer-Verlag New York Inc. - 9780387260457 - November 17, 2005
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Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability 2nd ed. 2006 edition

Wendell H. Fleming

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Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability 2nd ed. 2006 edition

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, biography

Media Books     Hardcover Book   (Book with hard spine and cover)
Released November 17, 2005
ISBN13 9780387260457
Publishers Springer-Verlag New York Inc.
Pages 429
Dimensions 304 × 166 × 33 mm   ·   725 g
Language English  
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