Markov Decision Processes with Applications to Finance

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, illustrating its application through examples in finance and operations research.

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Bibliographische Detailangaben
Hauptverfasser:	Bäuerle, Nicole, Rieder, Ulrich
Format:	Buch
Sprache:	eng
Schlagworte:	Applications of Mathematics Finance-Mathematical models Markov processes Mathematics Mathematics and Statistics Probabilities & applied mathematics Probability Theory and Stochastic Processes Programming (Mathematics) Quantitative Finance Statistical decision Stochastic control theory
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	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, illustrating its application through examples in finance and operations research.
ISSN:	0172-5939 2191-6675
DOI:	10.1007/978-3-642-18324-9