| 書(shū)目名稱 | Controlled Markov Processes and Viscosity Solutions |
| 編輯 | Wendell H. Fleming,H.M. Soner |
| 視頻video | http://file.papertrans.cn/238/237466/237466.mp4 |
| 概述 | Provides a luckd introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions.Also offers a concise introduction to risk-sensitive control t |
| 叢書(shū)名稱 | Stochastic Modelling and Applied Probability |
| 圖書(shū)封面 |  |
| 描述 | .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 hi |
| 出版日期 | Book 2006Latest edition |
| 關(guān)鍵詞 | Markov Chain; Markov process; Optimal control; control; control theory; optimization; programming; quantita |
| 版次 | 2 |
| doi | https://doi.org/10.1007/0-387-31071-1 |
| isbn_softcover | 978-1-4419-2078-2 |
| isbn_ebook | 978-0-387-31071-8Series ISSN 0172-4568 Series E-ISSN 2197-439X |
| issn_series | 0172-4568 |
| copyright | Springer-Verlag New York 2006 |
|Archiver|手機(jī)版|小黑屋|
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