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This book is an introduction to optimal stochastic control for continuous time Markov processes and the 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...
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This book is an introduction to optimal stochastic control for continuous time Markov processes and the 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.
schovat popis- Nakladatel: Springer-Verlag New York Inc.
- Kód:
- Rok vydání: 2010
- Jazyk: Angličtina
- Vazba: Taschenbuch
- Počet stran: 429
- Šířka balení: 23.5 cm
- Výška balení: 15.6 cm
- Hloubka balení: 2.8 cm
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