Markov Decision Processes with Applications to Finance (Universitext)
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Markov Decision Processes with Applications to Finance (Universitext)
Book Details
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Publisher: Springer
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Author: Ulrich Rieder
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Language: English
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Edition: 1st Edition
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ISBN: 9783642183232
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Pages: 388
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Cover: Paperback
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Dimensions: 9.0 x 6.1 x 0.9 inches
About The Book
Markov Decision Processes: Discrete Stochastic Dynamic Programming by Ulrich Rieder provides a comprehensive exploration of the theory and application of Markov decision processes (MDPs). The book focuses on controlled Markov chains in discrete time, offering a detailed treatment for both finite and infinite state and action spaces, and showcasing various applications in finance and operations research.
The author employs a structural approach to avoid unnecessary technicalities, particularly those involving measure theory, making the complex concepts more accessible. The book covers a broad range of topics, including finite and infinite horizons, partially observable MDPs, piecewise deterministic MDPs, and stopping problems, with numerous examples to illustrate these theories in action.
This text is ideal for upper-level undergraduates, Master's students, and researchers interested in applied probability, finance, and decision-making processes. It also includes exercises (without solutions) that provide valuable practice in applying the theories discussed.
