Controlled Markov processes and viscosity solutions
Controlled Markov processes and viscosity solutions
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DOI：
10.1007/0-387-31071-1
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发表时间：
1992-12
期刊：
影响因子：
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通讯作者：
W. Fleming;H. Mete Soner;H. Soner;Div Applied Mathematics;Florence Fleming;Serpil Soner
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文献类型：
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作者：
W. Fleming;H. Mete Soner;H. Soner;Div Applied Mathematics;Florence Fleming;Serpil Soner
这本书是连续时间马尔可夫过程的最优随机控制和粘性解的理论的介绍。它涵盖了确定性最优控制问题的动态规划，以及相应的粘性解理论。第二版的新章节介绍了随机最优控制在投资组合优化中的作用，以及在不完全市场和双控制器零和微分游戏中衍生品的定价。
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.