Controlled Markov Processes and Viscosity Solutions

Halil Mete Soner

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Language: English

Published by Springer New York Nov 2010, 2010

1441920781 / 9781441920782

Series: Book 9 of 30 - Stochastic Modelling and Applied Probability

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -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 448 pp. Englisch.

Seller Inventory # 9781441920782

Title
Controlled Markov Processes and Viscosity Solutions
Author
Halil Mete Soner
Publisher
Springer New York Nov 2010
Publication year
2010
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
1441920781
ISBN 13
9781441920782
Edition
2nd Edition
Item weight
674 grams
Dimensions
235x155x25 mm
Series
Book 9 of 30: Stochastic Modelling and Applied Probability

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

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BuchWeltWeit Ludwig Meier e.K.

Germany