Markov Decision Processes with Applications to Finance

Authors:

ISBN: 978-3-642-18323-2 (Print) 978-3-642-18324-9 (Online)

Table of contents (14 chapters)

  1. Front Matter

    Pages i-xvi

  2. No Access

    Book Chapter

    Pages 1-9

    Introduction and First Examples

  3. Finite Horizon Optimization Problems and FinancialMarkets

    1. Front Matter

      Pages 11-11

    2. No Access

      Book Chapter

      Pages 13-57

      Theory of Finite Horizon Markov Decision Processes

    3. No Access

      Book Chapter

      Pages 59-74

      The Financial Markets

    4. No Access

      Book Chapter

      Pages 75-144

      Financial Optimization Problems

  4. Partially Observable Markov Decision Problems

    1. Front Matter

      Pages 145-145

    2. No Access

      Book Chapter

      Pages 147-174

      Partially Observable Markov Decision Processes

    3. No Access

      Book Chapter

      Pages 175-189

      Partially Observable Markov Decision Problems in Finance

  5. Infinite Horizon Optimization Problems

    1. Front Matter

      Pages 191-191

    2. No Access

      Book Chapter

      Pages 193-242

      Theory of Infinite Horizon Markov Decision Processes

    3. No Access

      Book Chapter

      Pages 243-265

      Piecewise Deterministic Markov Decision Processes

    4. No Access

      Book Chapter

      Pages 267-299

      Optimization Problems in Finance and Insurance

  6. Stopping Problems

    1. Front Matter

      Pages 301-301

    2. No Access

      Book Chapter

      Pages 303-330

      Theory of Optimal Stopping Problems

    3. No Access

      Book Chapter

      Pages 331-343

      Stopping Problems in Finance

  7. Appendix

    1. Front Matter

      Pages 345-345

    2. No Access

      Book Chapter

      Pages 347-354

      Tools from Analysis

    3. No Access

      Book Chapter

      Pages 355-363

      Tools from Probability

    4. No Access

      Book Chapter

      Pages 365-368

      Tools from Mathematical Finance

  8. Back Matter

    Pages 369-388