Controlled Markov Processes and Viscosity Solutions

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Springer Science & Business Media, Feb 4, 2006 - Mathematics - 429 pages

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.

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Contents

Deterministic Optimal Control
1
Viscosity Solutions
57
Differential Games
375
A Duality Relationships 397
396
References
409
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