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Author: Wendell H. Fleming
Publisher: Springer Science & Business Media
ISBN: 0387310711
Category : Mathematics
Languages : en
Pages : 436
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Book Description
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.
Author: Wendell H. Fleming
Publisher: Springer Science & Business Media
ISBN: 0387310711
Category : Mathematics
Languages : en
Pages : 436
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Book Description
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.
Author: Wendell H. Fleming
Publisher: Edizioni della Normale
ISBN: 9788876422508
Category : Mathematics
Languages : en
Pages : 0
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Book Description
These notes are based on a series of lectures delivered at the Scuola Normale Superiore in March 1986. They are intended to explore some connections between the theory of control of Markov stochastic processes and certain classes of nonlinear evolution equations. These connections arise by considering the dynamic programming equation associated with a stochastic control problem. Particular attention is given to controlled Markov diffusion processes on finite dimensional Euclidean space. In that case, the dynamic programming equation is a nonlinear partial differential equation of second order elliptic or parabolic type. For deterministic control the dynamic programming equation reduces to first order. From the viewpoint of nonlinear evolution equations, the interest is in whether one can find some stochastic control problem for which the given evolution equation is the dynamic programming equation. Classical solutions to first order or degenerate second order elliptic/parabolic equations with given boundary Cauchy data do not usually exist. One must instead consider generalized solutions. Viscosity solutions methods have substantially extended the theory.
Author: Wendell Helms Fleming
Publisher:
ISBN: 9786610461998
Category : Markov processes
Languages : en
Pages : 428
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Book Description
This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance.; 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.
Author: Wendell Helms Fleming
Publisher:
ISBN:
Category : Differential games
Languages : en
Pages : 0
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Book Description
Author: Wendell Helms Fleming
Publisher:
ISBN:
Category : Differential games
Languages : en
Pages : 80
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Book Description
Author: Cram101 Textbook Reviews
Publisher: Academic Internet Pub Incorporated
ISBN: 9781619051683
Category : Education
Languages : en
Pages : 132
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Book Description
Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780387260457 .
Author: Vassili N. Kolokoltsov
Publisher: Cambridge University Press
ISBN: 1139489739
Category : Mathematics
Languages : en
Pages : 394
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Book Description
A nonlinear Markov evolution is a dynamical system generated by a measure-valued ordinary differential equation with the specific feature of preserving positivity. This feature distinguishes it from general vector-valued differential equations and yields a natural link with probability, both in interpreting results and in the tools of analysis. This brilliant book, the first devoted to the area, develops this interplay between probability and analysis. After systematically presenting both analytic and probabilistic techniques, the author uses probability to obtain deeper insight into nonlinear dynamics, and analysis to tackle difficult problems in the description of random and chaotic behavior. The book addresses the most fundamental questions in the theory of nonlinear Markov processes: existence, uniqueness, constructions, approximation schemes, regularity, law of large numbers and probabilistic interpretations. Its careful exposition makes the book accessible to researchers and graduate students in stochastic and functional analysis with applications to mathematical physics and systems biology.
Author: N El Karoui
Publisher: CRC Press
ISBN: 9780582307339
Category : Mathematics
Languages : en
Pages : 236
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Book Description
This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.
Author: Tatsien Li
Publisher: World Scientific
ISBN: 9814546429
Category :
Languages : en
Pages : 286
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Book Description
This volume contains 30 research papers presenting the recent development and trend on the following subjects: nonlinear hyperbolic equations (systems); nonlinear parabolic equations (systems); infinite-dimensional dynamical systems; applications (free boundary problems, phase transitions, etc.).
Author: A.B. Cruzeiro
Publisher: Springer Science & Business Media
ISBN: 146120447X
Category : Mathematics
Languages : en
Pages : 207
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Book Description
At the end of the summer 1989, an international conference on stochastic analysis and related topics was held for the first time in Lisbon (Portu gal). This meeting was made possible with the help of INIC and JNICT, two organizations devoted to the encouragement of scientific research in Portugal. The meeting was interdiciplinary since mathematicians and mathematical physicists from around the world were invited to present their recent works involving probability theory, analysis, geometry and physics, a wide area of cross fertilization in recent years. Portuguese scientific research is expanding fast, these days, faster, some times, than the relevant academic structures. The years to come will be determinant for the orientation of those young Portuguese willing to take an active part in the international scientific community. Lisbon's summer 89 meeting should initiate a new Iberic tradition, attrac tive both for these researchers to be and, of course, for the selected guests. Judging by the quality of contributions collected here, it is not unrealistic to believe that a tradition of "southern randomness" may well be established.
