Controlled Markov Processes and Viscosity SolutionsThis 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. |
From inside the book
Results 1-5 of 63
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... Control of Markov Processes: Classical Solutions119 III.1 Introduction ... stochastic differential equations ... problem . . . . . . . . . . . . . . . . . . . . . . . . . . 152 IV.3 ...
... Control of Markov Processes: Classical Solutions119 III.1 Introduction ... stochastic differential equations ... problem . . . . . . . . . . . . . . . . . . . . . . . . . . 152 IV.3 ...
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... . . . . . 230 VI.4 Auxiliary stochastic control problem . . . . . . . . . . . . . . . . . . 235 VI.5 Bounded region Q . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238 VI.6 Small noise limits ...
... . . . . . 230 VI.4 Auxiliary stochastic control problem . . . . . . . . . . . . . . . . . . 235 VI.5 Bounded region Q . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238 VI.6 Small noise limits ...
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... problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348 X.4 ... control limit game . . . . . . . . . . . . . . . . . . . . . . 387 XI.8 Time ... Stochastic Differential Equations: Random Coefficients . .403 References ...
... problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348 X.4 ... control limit game . . . . . . . . . . . . . . . . . . . . . . 387 XI.8 Time ... Stochastic Differential Equations: Random Coefficients . .403 References ...
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... stochastic control for continuous time Markov processes and to the theory of viscosity solutions. We approach stochastic control problems by the method of dynamic programming. The fundamental equation of dynamic programming is a ...
... stochastic control for continuous time Markov processes and to the theory of viscosity solutions. We approach stochastic control problems by the method of dynamic programming. The fundamental equation of dynamic programming is a ...
Page 2
... stochastic optimal control problems. In dynamic programming, a value function V is introduced which is the optimum value of the payoff considered as a function of initial data. See Section 4, and also Section 7 for infinite time horizon ...
... stochastic optimal control problems. In dynamic programming, a value function V is introduced which is the optimum value of the payoff considered as a function of initial data. See Section 4, and also Section 7 for infinite time horizon ...
Contents
1 | |
Viscosity Solutions | 57 |
Differential Games | 375 |
A Duality Relationships 397 | 396 |
References | 409 |
Other editions - View all
Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming,Halil Mete Soner No preview available - 2006 |
Common terms and phrases
admissible control assume assumptions boundary condition boundary data bounded brownian motion calculus of variations Chapter classical solution consider constant controlled Markov diffusion convergence convex Corollary cost function define definition denote differential games dynamic programming equation dynamic programming principle Dynkin formula Example exists exit finite first formulation G Q0 Hamilton-Jacobi equation Hence HJB equation holds implies inequality initial data Ishii Lemma linear Lipschitz continuous Markov chain Markov control policy Markov processes maximum principle minimizing Moreover nonlinear obtain optimal control optimal control problem partial derivatives partial differential equation progressively measurable proof of Theorem prove reference probability system Remark result risk sensitive satisfies satisfying Section semigroup Soner stochastic control stochastic control problem stochastic differential equations subset Suppose Theorem 9.1 uniformly continuous unique value function Verification Theorem viscosity solution viscosity subsolution viscosity supersolution