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The Resource Controlled Markov processes and viscosity solutions, Wendell H. Fleming, H. Mete Soner

Controlled Markov processes and viscosity solutions, Wendell H. Fleming, H. Mete Soner

Label
Controlled Markov processes and viscosity solutions
Title
Controlled Markov processes and viscosity solutions
Statement of responsibility
Wendell H. Fleming, H. Mete Soner
Creator
Contributor
Subject
Language
eng
Summary
"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."--BOOK JACKET
Cataloging source
CPS
http://library.link/vocab/creatorDate
1928-
http://library.link/vocab/creatorName
Fleming, Wendell H.
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Soner, H. Mete.
Series statement
Stochastic modelling and applied probability
Series volume
25
http://library.link/vocab/subjectName
  • Markov processes
  • Stochastic control theory
  • Viscosity solutions
Label
Controlled Markov processes and viscosity solutions, Wendell H. Fleming, H. Mete Soner
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Contents
  • I.
  • Deterministic optimal control.
  • p. 1
  • II.
  • Viscosity solutions.
  • p. 57
  • III.
  • Optimal control of Markov processes : classical solutions.
  • p. 119
  • IV.
  • Controlled Markov diffusions in IR[superscript n].
  • p. 151
  • V.
  • Viscosity solutions : second-order case.
  • p. 199
  • VI.
  • Logarithmic transformations and risk sensitivity.
  • p. 227
  • VII.
  • Singular perturbations.
  • p. 261
  • VIII.
  • Singular stochastic control.
  • p. 293
  • IX.
  • Finite difference numerical approximations.
  • p. 321
  • X.
  • Applications to finance.
  • p. 347
  • XI.
  • Differential games.
  • p. 375
  • A.
  • Duality relationships.
  • p. 397
  • B.
  • Dynkin's formula for random evolutions with Markov chain parameters.
  • p. 399
  • C.
  • Extension of Lipschitz continuous functions; smoothing.
  • p. 401
  • D.
  • Stochastic differential equations : random coefficients.
  • p. 403
Control code
ocm62784396
Dimensions
24 cm.
Edition
2nd ed.
Extent
xvii, 428 p.
Isbn
9780387260457
Label
Controlled Markov processes and viscosity solutions, Wendell H. Fleming, H. Mete Soner
Publication
Bibliography note
Includes bibliographical references and index
Contents
  • I.
  • Deterministic optimal control.
  • p. 1
  • II.
  • Viscosity solutions.
  • p. 57
  • III.
  • Optimal control of Markov processes : classical solutions.
  • p. 119
  • IV.
  • Controlled Markov diffusions in IR[superscript n].
  • p. 151
  • V.
  • Viscosity solutions : second-order case.
  • p. 199
  • VI.
  • Logarithmic transformations and risk sensitivity.
  • p. 227
  • VII.
  • Singular perturbations.
  • p. 261
  • VIII.
  • Singular stochastic control.
  • p. 293
  • IX.
  • Finite difference numerical approximations.
  • p. 321
  • X.
  • Applications to finance.
  • p. 347
  • XI.
  • Differential games.
  • p. 375
  • A.
  • Duality relationships.
  • p. 397
  • B.
  • Dynkin's formula for random evolutions with Markov chain parameters.
  • p. 399
  • C.
  • Extension of Lipschitz continuous functions; smoothing.
  • p. 401
  • D.
  • Stochastic differential equations : random coefficients.
  • p. 403
Control code
ocm62784396
Dimensions
24 cm.
Edition
2nd ed.
Extent
xvii, 428 p.
Isbn
9780387260457

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      53.418074 -2.967913
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