Skip to product information
1 of 1

Stochastic Modelling and Applied Probability 25: Controlled Markov Processes and Viscosity Solutions, Second Edition (Hardback)

Stochastic Modelling and Applied Probability 25: Controlled Markov Processes and Viscosity Solutions, Second Edition (Hardback)

Regular price $55.00 USD
Regular price Sale price $55.00 USD
Sale Sold out
Taxes included.

Condition

LIKE NEW: This book is in excellent condition and doesn't appear to have been used. It is printed on acid-free paper.

Product Details

From the back cover: "This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dynamic programming. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data. The theory is illustrated by applications from engineering, management science, and financial economics."

BRIEF CONTENTS

  • Preface to Second Edition
  • Preface
  • Notation
  • I - Deterministic Optimal Control
  • II - Viscosity Solutions
  • III - Optimal Control of Markov Processes: Classical Solutions
  • IV - Controlled Markov Diffusions in IRn
  • V - Viscosity Solutions: Second-Order Case
  • VI - Logarithmic Transformations and Risk Sensitivity
  • VII - Singular Perturbations
  • VIII - Singular Stochastic Control
  • IX - Finite Difference Numerical Approximations
  • X - Applications to Finance
  • XI - Differential Games
  • A - Duality Relationships
  • B - Dynkin's Formula for Random Evolutions with Markov Chain Parameters
  • C - Extension of Lipschitz Continuous Functions; Smoothing
  • D - Stochastic Differential Equations: Random Coefficients
  • References
  • Index
View full details

AUTHOR: Fleming;Wendell H. and H.M. Soner
PUBLISHER: Springer Science+Business Media
ISBN-13: 9780387260457
ISBN-10: 0387260455
Your cart
Product Product subtotal Quantity Price Product subtotal
Stochastic Modelling and Applied Probability 25: Controlled Markov Processes and Viscosity Solutions, Second Edition (Hardback)
Stochastic Modelling and Applied Probability 25: Controlled Markov Processes and Viscosity Solutions, Second Edition (Hardback)1828
Stochastic Modelling and Applied Probability 25: Controlled Markov Processes and Viscosity Solutions, Second Edition (Hardback)1828
$55.00/ea
$0.00
$55.00/ea $0.00