MARC details
| 000 -LEADER |
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| fixed length control field |
03623nam a22005055i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-0-387-31071-8 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20250710083947.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2006 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780387310718 |
| -- |
99780387310718 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/0-387-31071-1 |
| Source of number or code |
doi |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.2 |
| Edition information |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Fleming, Wendell H. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
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| Title |
Controlled Markov Processes and Viscosity Solutions |
| Medium |
[recurso electrónico] / |
| Statement of responsibility, etc. |
by Wendell H. Fleming, H.M. Soner. |
| 250 ## - EDITION STATEMENT |
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| Edition statement |
Second Edition. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
New York, NY : |
| Name of producer, publisher, distributor, manufacturer |
Springer New York, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2006. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
XVII, 429 p. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
recurso en línea |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Stochastic Modelling and Applied Probability, |
| International Standard Serial Number |
0172-4568 ; |
| Volume/sequential designation |
25 |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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 dynamic programming. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. 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. In this second edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included. Review of the earlier edition: "This book is highly recommended to anyone who wishes to learn the dinamic principle applied to optimal stochastic control for diffusion processes. Without any doubt, this is a fine book and most likely it is going to become a classic on the area... ." SIAM Review, 1994 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
MATHEMATICS. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
FINANCE. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
SYSTEMS THEORY. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
DISTRIBUTION (PROBABILITY THEORY). |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
MATHEMATICS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
PROBABILITY THEORY AND STOCHASTIC PROCESSES. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
SYSTEMS THEORY, CONTROL. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
CONTROL ENGINEERING. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
OPERATIONS RESEARCH/DECISION THEORY. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
QUANTITATIVE FINANCE. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Soner, H.M. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
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| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Relationship information |
Printed edition: |
| International Standard Book Number |
9780387260457 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Stochastic Modelling and Applied Probability, |
| International Standard Serial Number |
0172-4568 ; |
| Volume/sequential designation |
25 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="http://dx.doi.org/10.1007/0-387-31071-1">http://dx.doi.org/10.1007/0-387-31071-1</a> |
| Public note |
Ver el texto completo en las instalaciones del CICY |
| 912 ## - |
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| -- |
ZDB-2-SMA |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Libros electrónicos |
