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＜電子ブック＞
Markov Decision Processes with Applications to Finance / by Nicole Bäuerle, Ulrich Rieder
(Universitext. ISSN:21916675)

版	1st ed. 2011.
出版者	Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer
出版年	2011
大きさ	XVI, 388 p. 24 illus : online resource
著者標目	*Bäuerle, Nicole author Rieder, Ulrich author SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Social sciences—Mathematics LCSH:Mathematics FREE:Probability Theory FREE:Mathematics in Business, Economics and Finance FREE:Applications of Mathematics
一般注記	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 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).   HTTP:URL=https://doi.org/10.1007/978-3-642-18324-9

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