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Markov Decision Processes with Applications to Finance
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Details
Dewey Class
519.2
Titel
Markov Decision Processes with Applications to Finance ([Ebook]) / by Nicole Bäuerle, Ulrich Rieder.
Verfasser
Bäuerle, Nicole
Added Personal Name
Rieder, Ulrich
Other name(s)
SpringerLink (Online service)
Veröffentl
Berlin, Heidelberg : Springer , 2011.
Physical Details
XVI, 388 pages, 24 illus. : online resource.
Reihe
Universitext
0172-5939
ISBN
9783642183249
Summary Note
The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).  :
Contents note
Preface -- 1.Introduction and First Examples -- Part I Finite Horizon Optimization Problems and Financial Markets -- 2.Theory of Finite Horizon Markov Decision Processes -- 3.The Financial Markets -- 4.Financial Optimization Problems -- Part II Partially Observable Markov Decision Problems -- 5.Partially Observable Markov Decision Processes -- 6.Partially Observable Markov Decision Problems in Finance -- Part III Infinite Horizon Optimization Problems -- 7.Theory of Infinite Horizon Markov Decision Processes -- 8.Piecewise Deterministic Markov Decision Processes -- 9.Optimization Problems in Finance and Insurance -- Part IV Stopping Problems -- 10.Theory of Optimal Stopping Problems -- 11.Stopping Problems in Finance -- Part V Appendix -- A.Tools from Analysis -- B.Tools from Probability -- C.Tools from Mathematical Finance -- References -- Index.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site
http://dx.doi.org/10.1007/978-3-642-18324-9
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Schlagwörter:
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Applications of Mathematics
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Distribution (Probability theory)
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Finance
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Markov processes
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Mathematics
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Probability theory and stochastic processes
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Quantitative Finance
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Authors:
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Bäuerle, Nicole
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Rieder, Ulrich
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Universitext
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519.2
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519.2 (DDC 23)
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