skip to content
Markov decision processes with applications to finance Preview this item
ClosePreview this item
Checking...

Markov decision processes with applications to finance

Author: Nicole Bäuerle; Ulrich Rieder
Publisher: Heidelberg ; New York : Springer, ©2011.
Series: Universitext.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Bäuerle, Nicole.
Markov decision processes with applications to finance.
Heidelberg ; New York : Springer, 2011
(OCoLC)730247119
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nicole Bäuerle; Ulrich Rieder
ISBN: 9783642183249 3642183247
OCLC Number: 745002941
Description: 1 online resource (xvi, 388 pages) : illustrations.
Contents: 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.
Series Title: Universitext.
Responsibility: Nicole Bäuerle, Ulrich Rieder.

Abstract:

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  Read more...

Reviews

Editorial reviews

Publisher Synopsis

From the reviews:"This book presents Markov decision processes with general state and action spaces and includes various state-of-the-art applications that stem from finance and operations research. Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/745002941> # Markov decision processes with applications to finance
    a schema:MediaObject, schema:Book, schema:CreativeWork ;
   library:oclcnum "745002941" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/900860589#Place/heidelberg> ; # Heidelberg
   library:placeOfPublication <http://dbpedia.org/resource/New_York_City> ; # New York
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/gw> ;
   schema:about <http://id.worldcat.org/fast/842780> ; # Business mathematics
   schema:about <http://dewey.info/class/519.233/e23/> ;
   schema:about <http://id.worldcat.org/fast/1010347> ; # Markov processes
   schema:bookFormat schema:EBook ;
   schema:contributor <http://viaf.org/viaf/49763284> ; # Ulrich Rieder
   schema:copyrightYear "2011" ;
   schema:creator <http://viaf.org/viaf/62262707> ; # Nicole Bäuerle
   schema:datePublished "2011" ;
   schema:description "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."@en ;
   schema:description "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). ¡."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/900860589> ;
   schema:genre "Electronic books"@en ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/900860589#Series/universitext> ; # Universitext.
   schema:isSimilarTo <http://www.worldcat.org/oclc/730247119> ;
   schema:name "Markov decision processes with applications to finance"@en ;
   schema:productID "745002941" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/745002941#PublicationEvent/heidelberg_new_york_springer_2011> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/900860589#Agent/springer> ; # Springer
   schema:url <http://dx.doi.org/10.1007/978-3-642-18324-9> ;
   schema:url <http://iclibezp1.cc.ic.ac.uk/login?url=http://dx.doi.org/10.1007/978-3-642-18324-9> ;
   schema:url <https://grinnell.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-642-18324-9> ;
   schema:url <https://login.proxy.lib.strath.ac.uk/login?url=http://dx.doi.org/10.1007/978-3-642-18324-9> ;
   schema:url <http://link.springer.com/openurl?genre=book&isbn=978-3-642-18323-2> ;
   schema:url <http://site.ebrary.com/id/10478153> ;
   schema:url <https://link.springer.com/openurl?genre=book&isbn=978-3-642-18323-2> ;
   schema:workExample <http://worldcat.org/isbn/9783642183249> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/745002941> ;
    .


Related Entities

<http://dbpedia.org/resource/New_York_City> # New York
    a schema:Place ;
   schema:name "New York" ;
    .

<http://experiment.worldcat.org/entity/work/data/900860589#Series/universitext> # Universitext.
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/745002941> ; # Markov decision processes with applications to finance
   schema:name "Universitext." ;
   schema:name "Universitext" ;
    .

<http://id.worldcat.org/fast/1010347> # Markov processes
    a schema:Intangible ;
   schema:name "Markov processes"@en ;
    .

<http://id.worldcat.org/fast/842780> # Business mathematics
    a schema:Intangible ;
   schema:name "Business mathematics"@en ;
    .

<http://link.springer.com/openurl?genre=book&isbn=978-3-642-18323-2>
   rdfs:comment "Springer eBooks (Mathematics and Statistics 2011)" ;
    .

<http://viaf.org/viaf/49763284> # Ulrich Rieder
    a schema:Person ;
   schema:familyName "Rieder" ;
   schema:givenName "Ulrich" ;
   schema:name "Ulrich Rieder" ;
    .

<http://viaf.org/viaf/62262707> # Nicole Bäuerle
    a schema:Person ;
   schema:familyName "Bäuerle" ;
   schema:givenName "Nicole" ;
   schema:name "Nicole Bäuerle" ;
    .

<http://worldcat.org/isbn/9783642183249>
    a schema:ProductModel ;
   schema:isbn "3642183247" ;
   schema:isbn "9783642183249" ;
    .

<http://www.worldcat.org/oclc/730247119>
    a schema:CreativeWork ;
   rdfs:label "Markov decision processes with applications to finance." ;
   schema:description "Print version:" ;
   schema:isSimilarTo <http://www.worldcat.org/oclc/745002941> ; # Markov decision processes with applications to finance
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.