## Controlled Markov Processes and Viscosity SolutionsThis book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games. |

### From inside the book

Results 1-5 of 74

Page

A new

A new

**Chapter**X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Page

This is followed by the more technical

This is followed by the more technical

**Chapters**IV and V, which are concerned with ...**Chapter**VIII is an introduction to singular stochastic control. Page

This is the topic of

This is the topic of

**Chapter**IX.**Chapters**III, IV and VI rely on probabilistic methods. The only results about partial differential equations used in these ... Page

Roman numerals are used to refer to

Roman numerals are used to refer to

**chapters**. For example, Theorem II.5.1 refers to Theorem 5.1 in**Chapter**II. Similarly, IV(3.7) refers to formula (3.7) of ... Page 1

In this introductory

In this introductory

**chapter**we are concerned with deterministic optimal control models in which the dynamics of the system being controlled are governed by ...### What people are saying - Write a review

We haven't found any reviews in the usual places.

### Contents

1 | |

Viscosity Solutions | 57 |

Differential Games | 375 |

A Duality Relationships 397 | 396 |

References | 409 |

### Other editions - View all

Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming,Halil Mete Soner No preview available - 2006 |

### Common terms and phrases

admissible control assume assumptions boundary condition boundary data bounded brownian motion calculus of variations Chapter classical solution consider constant controlled Markov diffusion convergence convex Corollary cost function deﬁne deﬁnition denote differential games dynamic programming equation dynamic programming principle Dynkin formula Example exists exit ﬁnite ﬁrst formulation G Q0 Hamilton-Jacobi equation Hence HJB equation holds implies inequality initial data Ishii Lemma linear Lipschitz continuous Markov chain Markov control policy Markov processes maximum principle minimizing Moreover nonlinear obtain optimal control optimal control problem partial derivatives partial differential equation progressively measurable proof of Theorem prove reference probability system Remark result risk sensitive satisﬁes satisfying Section semigroup Soner stochastic control stochastic control problem stochastic differential equations subset Suppose Theorem 9.1 uniformly continuous unique value function Veriﬁcation Theorem viscosity solution viscosity subsolution viscosity supersolution