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.
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.
By:
Wendell H. Fleming, Halil Mete Soner Imprint: Springer Verlag Country of Publication: United States Edition: 2nd Revised edition Volume: v. 25 Dimensions:
Height: 235mm,
Width: 155mm,
Spine: 25mm
Weight: 1.770kg ISBN:9780387260457 ISBN 10: 0387260455 Series:Stochastic Modelling and Applied Probability Pages: 448 Publication Date:01 June 2006 Audience:
College/higher education
,
Professional and scholarly
,
Professional & Vocational
,
A / AS level
,
Further / Higher Education
Format:Hardback Publisher's Status: Active
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.
