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Mathematics - Probability Theory and Stochastic Processes | Markov Decision Processes with Applications to Finance (Reviews)

Markov Decision Processes with Applications to Finance

Series: Universitext

Bäuerle, Nicole, Rieder, Ulrich

2011, XVI, 388p. 24 illus..

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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. … very helpful, not only for graduate students, but also for researchers working in the field of MDPs and finance. The authors do not focus only on discrete-time MDPs, but provide the description of different classes of Markov models … . Each chapter ends with remarks, where the potential reader may find further hints concerning references.” (Anna Jaskiewicz, Zentralblatt MATH, Vol. 1236, 2012)



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