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.
EAN/ISBN : 9780387310718
Publisher(s): Springer, Berlin, Springer, New York
Discussed keywords: Markov-Prozesse
Format: ePub/PDF

Author(s): Fleming, Wendell H. - Soner, H.M.