Markov Processes
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An Introduction to Markov Processes
Author: Daniel W. Stroock
language: en
Publisher: Springer Science & Business Media
Release Date: 2004-11-23
Provides a more accessible introduction than other books on Markov processes by emphasizing the structure of the subject and avoiding sophisticated measure theory Leads the reader to a rigorous understanding of basic theory
Controlled Markov Processes and Viscosity Solutions
Author: Wendell H. Fleming
language: en
Publisher: Springer Science & Business Media
Release Date: 2006-02-04
This 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.
Markov Processes
Author: Daniel T. Gillespie
language: en
Publisher: Gulf Professional Publishing
Release Date: 1992
Markov process theory provides a mathematical framework for analyzing the elements of randomness that are involved in most real-world dynamical processes. This introductory text, which requires an understanding of ordinary calculus, develops the concepts and results of random variable theory.