Markov decision processes with applications to finance.
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Publication:626374
DOI10.1007/978-3-642-18324-9zbMath1236.90004OpenAlexW368265031MaRDI QIDQ626374
Publication date: 17 February 2011
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-18324-9
dynamic programmingBellman equationMarkov decision processoptimal policyfinancial marketexpected total reward criterion
Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)
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