Controlled Markov Processes and Viscosity Solutions

519.2

Fleming, Wendell H. Controlled Markov Processes and Viscosity Solutions by Wendell H. Fleming, H.M. Soner. - Second Edition.. -
XVII, 429 p. online resource. - (Stochastic Modelling and Applied Probability, 25) Content notes : Deterministic Optimal Control -- Viscosity Solutions -- Optimal Control of Markov Processes: Classical Solutions -- Controlled Markov Diffusions in ?n -- Viscosity Solutions: Second-Order Case -- Logarithmic Transformations and Risk Sensitivity -- Singular Perturbations -- Singular Stochastic Control -- Finite Difference Numerical Approximations -- Applications to Finance -- Differential Games. 9780387310718 * Distribution (Probability theory. Systems theory. Operations research. Finance. Probability Theory and Stochastic Processes. Systems Theory, Control. Control, Robotics, Mechatronics. Operations Research/Decision Theory. Quantitative Finance. * Soner, H.M., aut, http://id.loc.gov/vocabulary/relators/aut * Title * Series