Controlled Markov Processes and Viscosity Solutions

2006 | Buch

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Controlled Markov Processes and Viscosity Solutions

verfasst von: Wendell H. Fleming, H.M. Soner

Verlag: Springer New York

Buchreihe : Stochastic Modelling and Applied Probability

Enthalten in: Springer Professional "Wirtschaft+Technik" , Springer Professional "Technik" , Springer Professional "Wirtschaft"

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Inhaltsverzeichnis

Frontmatter

I. Deterministic Optimal Control

II. Viscosity Solutions

III. Optimal Control of Markov Processes: Classical Solutions

IV. Controlled Markov Diffusions in ℝn

V. Viscosity Solutions: Second-Order Case

VI. Logarithmic Transformations and Risk Sensitivity

VII. Singular Perturbations

VIII. Singular Stochastic Control

IX. Finite Difference Numerical Approximations

X. Applications to Finance

XI. Differential Games

Backmatter

Titel: Controlled Markov Processes and Viscosity Solutions
verfasst von: Wendell H. Fleming
H.M. Soner
Copyright-Jahr: 2006
Verlag: Springer New York
Electronic ISBN: 978-0-387-31071-8
Print ISBN: 978-0-387-26045-7
DOI: https://doi.org/10.1007/0-387-31071-1