Markov Decision Processes with Applications to Finance

by Ulrich Rieder, Nicole Bäuerle, Nicole Bauerle

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,...

• Format: Paperback
• Language: English
• ISBN: 3642183239
• ISBN13: 9783642183232
• Release Date: June 2011
• Publisher: Springer
• Length: 388 Pages
• Weight: 1.63 lbs.
• Dimensions: 0.9" x 6.2" x 9.2"