Author: Wendell H. Fleming Publisher: Springer Science & Business Media ISBN: 0387310711 Category : Mathematics Languages : en Pages : 436
Book 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.
Author: Wendell Helms Fleming Publisher: ISBN: 9786610461998 Category : Markov processes Languages : en Pages : 428
Book Description
This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance.; In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.
Author: Wendell H. Fleming Publisher: Edizioni della Normale ISBN: 9788876422508 Category : Mathematics Languages : en Pages : 0
Book Description
These notes are based on a series of lectures delivered at the Scuola Normale Superiore in March 1986. They are intended to explore some connections between the theory of control of Markov stochastic processes and certain classes of nonlinear evolution equations. These connections arise by considering the dynamic programming equation associated with a stochastic control problem. Particular attention is given to controlled Markov diffusion processes on finite dimensional Euclidean space. In that case, the dynamic programming equation is a nonlinear partial differential equation of second order elliptic or parabolic type. For deterministic control the dynamic programming equation reduces to first order. From the viewpoint of nonlinear evolution equations, the interest is in whether one can find some stochastic control problem for which the given evolution equation is the dynamic programming equation. Classical solutions to first order or degenerate second order elliptic/parabolic equations with given boundary Cauchy data do not usually exist. One must instead consider generalized solutions. Viscosity solutions methods have substantially extended the theory.
Author: Cram101 Textbook Reviews Publisher: Academic Internet Pub Incorporated ISBN: 9781619051683 Category : Education Languages : en Pages : 132
Book Description
Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780387260457 .
Author: Cram101 Textbook Reviews Publisher: Cram101 ISBN: 9781478483632 Category : Languages : en Pages : 102
Book Description
Never HIGHLIGHT a Book Again Includes all testable terms, concepts, persons, places, and events. Cram101 Just the FACTS101 studyguides gives all of the outlines, highlights, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanies: 9780872893795. This item is printed on demand.
Author: Wendell H. Fleming
Author: Wendell Helms Fleming
Author: Wendell H. Fleming
Author: Cram101 Textbook Reviews
Author: Wendell Helms Fleming
Author: Cram101 Textbook Reviews
Author: Wendell Helms Fleming
Author: Society for Industrial and Applied Mathematics
Author: Evgeniĭ Borisovich Dynkin
Author: Evgenij B. Dynkin