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Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability Wendell H. Fleming Second Edition 2006 edition
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Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability
Wendell H. Fleming
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, black & white illustrations
| Media | Books Paperback Book (Book with soft cover and glued back) |
| Released | November 19, 2010 |
| ISBN13 | 9781441920782 |
| Publishers | Springer-Verlag New York Inc. |
| Pages | 429 |
| Dimensions | 235 × 156 × 28 mm · 694 g |
| Language | English |
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