{"product_id":"controlled-markov-processes-and-viscosity-wendell-h-fleming-9780387260457","title":"Controlled Markov Processes and Viscosity Solutions","description":"\u003cp\u003eThis book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors use 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. \u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Wendell H. Fleming, Halil Mete Soner\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 0387260455\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9780387260457\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 11\/17\/2005\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 429\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 1.60lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.54h x 6.34w x 0.97d","brand":"Wendell H. Fleming","offers":[{"title":"Hardcover","offer_id":43919635939583,"sku":"9780387260457","price":199.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/products\/img_2cb95d7b-ab41-460b-b65c-b2ae79aeea9a.jpg?v=1680810491","url":"https:\/\/www.whiterainbookhouse.com\/products\/controlled-markov-processes-and-viscosity-wendell-h-fleming-9780387260457","provider":"WR Book House","version":"1.0","type":"link"}