Controlled Markov Processes and Viscosity Solutions (Record no. 425065)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04315nam a22006015i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOKNUMBER | |
| International Standard Book Number | 9780387310718 |
| -- | 978-0-387-31071-8 |
| 024 7# - | |
| -- | 10.1007/0-387-31071-1 |
| -- | doi |
| 040 ## - | |
| -- | ISI Library, Kolkata |
| 050 #4 - | |
| -- | QA273.A1-274.9 |
| 050 #4 - | |
| -- | QA274-274.9 |
| 072 #7 - | |
| -- | PBT |
| -- | bicssc |
| 072 #7 - | |
| -- | MAT029000 |
| -- | bisacsh |
| 072 #7 - | |
| -- | PBT |
| -- | thema |
| 072 #7 - | |
| -- | PBWL |
| -- | thema |
| 082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.2 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Fleming, Wendell H. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 245 10 - TITLE STATEMENT | |
| Title | Controlled Markov Processes and Viscosity Solutions |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Wendell H. Fleming, H.M. Soner. |
| 250 ## - EDITIONSTATEMENT | |
| Edition statement | Second Edition. |
| 942 ## - ADDED ENTRY ELEMENTS(KOHA) | |
| Koha item type | E-BOOKS |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| -- | author. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS | |
| Place of production, publication, distribution, manufacture | New York, NY : |
| Name of producer, publisher, distributor, manufacturer | Springer New York, |
| Date of production, publication, distribution, manufacture | 2006. |
| 300 ## - | |
| -- | XVII, 429 p. |
| -- | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - | |
| -- | Stochastic Modelling and Applied Probability, |
| -- | 0172-4568 ; |
| -- | 25 |
| 505 0# - | |
| -- | 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. |
| 520 ## - | |
| -- | 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. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data. The theory is illustrated by applications from engineering, management science, and financial economics. 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. Review of the earlier edition: "This book is highly recommended to anyone who wishes to learn the dinamic principle applied to optimal stochastic control for diffusion processes. Without any doubt, this is a fine book and most likely it is going to become a classic on the area... ." SIAM Review, 1994. |
| 650 #0 - | |
| -- | Distribution (Probability theory. |
| 650 #0 - | |
| -- | Systems theory. |
| 650 #0 - | |
| -- | Operations research. |
| 650 #0 - | |
| -- | Finance. |
| 650 14 - | |
| -- | Probability Theory and Stochastic Processes. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M27004 |
| 650 24 - | |
| -- | Systems Theory, Control. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13070 |
| 650 24 - | |
| -- | Control, Robotics, Mechatronics. |
| -- | http://scigraph.springernature.com/things/product-market-codes/T19000 |
| 650 24 - | |
| -- | Operations Research/Decision Theory. |
| -- | http://scigraph.springernature.com/things/product-market-codes/521000 |
| 650 24 - | |
| -- | Quantitative Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13062 |
| 700 1# - | |
| -- | Soner, H.M. |
| -- | author. |
| -- | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 710 2# - | |
| -- | SpringerLink (Online service) |
| 773 0# - | |
| -- | Springer eBooks |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9780387507491 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9781441920782 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9780387260457 |
| 830 #0 - | |
| -- | Stochastic Modelling and Applied Probability, |
| -- | 0172-4568 ; |
| -- | 25 |
| 856 40 - | |
| -- | https://doi.org/10.1007/0-387-31071-1 |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 950 ## - | |
| -- | Mathematics and Statistics (Springer-11649) |
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