Controlled Markov processes and viscosity solutions /

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Bibliographic Details
Author / Creator:Fleming, Wendell H. (Wendell Helms), 1928-
Edition:2nd ed.
Imprint:New York : Springer-Verlag, c2006.
Description:xvii, 428 p. ; 24 cm.
Series:Stochastic modelling and applied probability ; 25
Format: Print Book
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Other authors / contributors:Soner, H. Mete.
ISBN:0387260455 (New York)
Notes:Includes bibliographical references (p. [409]-42) and index.

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.

Physical Description:xvii, 428 p. ; 24 cm.
Bibliography:Includes bibliographical references (p. [409]-42) and index.
ISBN:0387260455 (New York)