Controlled Markov Processes and Viscosity Solutions

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dyna...

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Bibliographic Details
Main Authors: Fleming, Wendell H., Soner, Halil Mete (Author)
Format: eBook
Published: New York, NY Springer New York 2006, 2006
Edition:2nd ed. 2006
Series:Stochastic Modelling and Applied Probability
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Deterministic Optimal Control
  • Viscosity Solutions
  • Optimal Control of Markov Processes: Classical Solutions
  • Controlled Markov Diffusions in ?n
  • Viscosity Solutions: Second-Order Case
  • Logarithmic Transformations and Risk Sensitivity
  • Singular Perturbations
  • Singular Stochastic Control
  • Finite Difference Numerical Approximations
  • Applications to Finance
  • Differential Games