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Controlled Markov Processes and Viscosity Solutions: v.25 - Applications of Mathematics (Hardback)
  • Controlled Markov Processes and Viscosity Solutions: v.25 - Applications of Mathematics (Hardback)
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Controlled Markov Processes and Viscosity Solutions: v.25 - Applications of Mathematics (Hardback)

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£61.50
Hardback 452 Pages / Published: 01/12/1992
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This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9780387979274
Number of pages: 452
Weight: 809 g
Dimensions: 234 x 156 x 26 mm

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