Mendeley出力
＜図書＞
Markov decision processes with applications to finance
| 責任表示 | Nicole Bäuerle, Ulrich Rieder |
|---|---|
| シリーズ | Universitext |
| データ種別 | 図書 |
| 出版情報 | Heidelberg : Springer , c2011 |
| 本文言語 | 英語 |
| 大きさ | xvi, 388 p. : ill. ; 24 cm |
| 概要 | 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 applica...ion 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). Book jacket.続きを見る |
| 目次 | Pt. I. Finite horizon optimization problems and financial markets Pt. II. Partially observable Markov decision problems Pt. III. Infinite horizon optimization problems Pt. IV. Stopping problems Pt. V. Appendix. |
| 電子版へのリンク | https://hdl.handle.net/2324/7010652 |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
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: pbk | 理系図3F 数理独自 | BAUE/65/1 | 2011 |
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033212011002527 |
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書誌詳細
| 一般注記 | Includes bibliographical references (p. 369-384) and index |
|---|---|
| 著者標目 | *Bäuerle, Nicole Rieder, Ulrich |
| 件 名 | LCSH:Markov processes LCSH:Finance -- Statistics 全ての件名で検索 |
| 分 類 | SG:510 |
| 書誌ID | 1001452345 |
| ISBN | 9783642183232 |
| NCID | BB06215689 |
| 巻冊次 | : pbk ; ISBN:9783642183232 ; XISBN:3642183239 |
| NBN | 11,N01 |
| 登録日 | 2011.07.29 |
| 更新日 | 2017.05.27 |