Controlled Markov Processes and Viscosity Solutions
Par : ,Formats :
- Nombre de pages432
- PrésentationBroché
- FormatGrand Format
- Poids0.69 kg
- Dimensions15,5 cm × 23,5 cm × 2,4 cm
- ISBN978-1-4419-2078-2
- EAN9781441920782
- Date de parution19/11/2010
- CollectionStochastic Modelling
- ÉditeurSpringer
Résumé
For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data.
The theory is illustrated by applications from engineering, management science, and financial economics.