Free shipping on all orders over $79* Limited Time Only
Track My Order
Help Centre
Likes
My Wish ListsLogin / Join
Booktopia
Australia's local bookstore
Get Free Shipping on orders over $79
Controlled Markov Processes and Viscosity Solutions - Wendell H. Fleming

Controlled Markov Processes and Viscosity Solutions

By: Wendell H. Fleming, Halil Mete Soner

eText | 4 February 2006 | Edition Number 2

At a Glance

eText

$269.01

or 4 interest-free payments of $67.25 with

 or 

Instant online reading in your Booktopia eTextbook Library *

Why choose an eTextbook?

Instant Access *

Purchase and read your book immediately

Read Aloud

Listen and follow along as Bookshelf reads to you

Study Tools

Built-in study tools like highlights and more

* eTextbooks are not downloadable to your eReader or an app and can be accessed via web browsers only. You must be connected to the internet and have no technical issues with your device or browser that could prevent the eTextbook from operating.
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 and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors use 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.
on
Desktop
Tablet
Mobile

You Can Find This eBook In

Non-FictionAccounting & FinanceFinanceBusiness & ManagementOperational ResearchEconomicsEconometricsEconomic StatisticsMathematicsApplied MathematicsProbability & StatisticsReference, Information & Interdisciplinary Subjects
Research & InformationInformation theoryCybernetics & Systems TheoryEngineering & TechnologyEnergy Technology & EngineeringElectrical EngineeringElectronics & Communications EngineeringElectronics EngineeringAutomatic Control EngineeringRoboticsOptimisationGame TheorySciencePhysicsClassical Mathematics

Other Editions and Formats

Paperback

Published: 19th November 2010

View Product

More in Probability & Statistics

untitled - TBC ANZ

eBOOK

untitled

eBook

$31.99

An Introduction to Stochastic Modeling - Gabriel Lord

eBOOK

An Introduction to Stochastic Modeling

eBook

RRP $145.41

$130.99

10%
OFF

This product is categorised by