Controlled Markov Processes and Viscosity Solutions（2ed）

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关于连续时间Markov过程随机控制与粘性解的经典书籍,第2版，目前的最新版本。


This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.




基本信息
出版社: Springer-Verlag New York Inc.; 2nd ed. 2006 (2005年11月17日)
丛书名: Stochastic Modelling and Applied Probability
精装: 448页
语种： 英语

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关键词：Controlled Viscosity Processes solutions Solution continuous problems dynamic control second

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