Controlled Markov Processes and Viscosity Solutions

by Wendell H. Fleming and Halil Mete Soner

Book Overview

This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters introduce the role of stochastic optimal control in portfolio optimization...

• Format: Paperback
• Language: English
• ISBN: 1441920781
• ISBN13: 9781441920782
• Release Date: November 2010
• Publisher: Springer
• Length: 429 Pages
• Weight: 1.37 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"