Controlled Markov Processes and Viscosity Solutions

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 dyna...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Fleming, Wendell H. (Autor), Soner, Halil Mete (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer New York : Imprint: Springer, 2006.
Edición:2nd ed. 2006.
Colección:Stochastic Modelling and Applied Probability, 25
Temas:
Probabilities.
System theory.
Control theory.
Control engineering.
Robotics.
Automation.
Operations research.
Social sciences-Mathematics.
Probability Theory.
Systems Theory, Control .
Control, Robotics, Automation.
Operations Research and Decision Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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