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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.
leírás elrejtése- Kiadó: Springer-Verlag New York Inc.
- Kód:
- Kiadás éve: 2010
- Nyelv: Angol
- Kötés: Fűzött (paperback)
- Oldalak száma: 429
- Csomag szélessége: 23.5 cm
- Csomag magassága: 15.6 cm
- Csomag mélysége: 2.8 cm
Recenzió