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.
Controlled Markov Processes and Viscosity Solutions
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$347.59
Description
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.
This book is concerned with a class of discrete-time stochastic control processes known as controlled Markov processes (CMP's), also known as Markov decision processes or Markov dynamic programs...
This book presents the first part of a planned two-volume series devoted to a systematic exposition of some recent developments in the theory of discrete-time Markov control processes (MCPs)...
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