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Markov Decision Processes with Applications to Finance
The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research....
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2011.
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| Edición: | 1st ed. 2011. |
| Colección: | Universitext,
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| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- Preface
- 1.Introduction and First Examples
- Part I Finite Horizon Optimization Problems and Financial Markets
- 2.Theory of Finite Horizon Markov Decision Processes
- 3.The Financial Markets
- 4.Financial Optimization Problems
- Part II Partially Observable Markov Decision Problems
- 5.Partially Observable Markov Decision Processes
- 6.Partially Observable Markov Decision Problems in Finance
- Part III Infinite Horizon Optimization Problems
- 7.Theory of Infinite Horizon Markov Decision Processes
- 8.Piecewise Deterministic Markov Decision Processes
- 9.Optimization Problems in Finance and Insurance
- Part IV Stopping Problems
- 10.Theory of Optimal Stopping Problems
- 11.Stopping Problems in Finance
- Part V Appendix
- A.Tools from Analysis
- B.Tools from Probability
- C.Tools from Mathematical Finance
- References
- Index.