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Wendell H. Fleming,Halil Mete Soner's Controlled Markov Processes and Viscosity Solutions: 25 PDF

By Wendell H. Fleming,Halil Mete Soner

This publication is an advent to optimum stochastic regulate for non-stop time Markov strategies and the idea of viscosity options. It covers dynamic programming for deterministic optimum keep watch over difficulties, in addition to to the corresponding idea of viscosity options. New chapters during this moment version introduce the position of stochastic optimum keep an eye on in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential video games.

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Controlled Markov Processes and Viscosity Solutions: 25 (Stochastic Modelling and Applied Probability) by Wendell H. Fleming,Halil Mete Soner

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