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Controlled Markov Processes and Viscosity Solutions

Wendell H. Fleming and H. M. Soner
Publisher: 
Springer Verlag
Publication Date: 
2006
Number of Pages: 
428
Format: 
Hardcover
Edition: 
2
Series: 
Stochastic Modelling and Applied Probability 25
Price: 
79.95
ISBN: 
0-387-26045-5
Category: 
Monograph
We do not plan to review this book.

 Preface.- Preface to Second Edition.- Notation.- Deterministic Optimal Control.- Viscosity Solutions.- Optimal Control of Markov Processes:Classical Solutions.- Controlled Markov Diffusions in IRn.- Viscosity Solutions: Scond-Order Case.- Logarithmic Transformations and Risk Sensitivity.- Singular Perturbations.- Singular Stochastic Control.- Finite Difference Numerical Approximations.- Applications to Finance.- Differential Games.- Duality Relationships.- Dynkin ’s Formula for Random Evolutions with Markov Chain Parameters.- Extension of Lipschitz Continuous Functions; Smoothing.

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