TY - BOOK ID - 56711255 TI - Markov Decision Processes with Applications to Finance AU - Bäuerle, Nicole AU - Rieder, Ulrich AU - SpringerLink (Online service) PY - 2011 SN - 9783642183249 9783642183232 PB - Berlin Heidelberg Springer Berlin Heidelberg DB - UniCat KW - Quantitative methods (economics) KW - Operational research. Game theory KW - Mathematics KW - Financial analysis KW - toegepaste wiskunde KW - stochastische analyse KW - financiële analyse KW - kansrekening KW - Markov processes KW - Programming (Mathematics) KW - Stochastic control theory KW - Finance KW - Markov, Processus de KW - Programmation (Mathématiques) KW - Commande stochastique KW - Finances KW - Mathematical models KW - Modèles mathématiques KW - EPUB-LIV-FT LIVMATHE LIVSTATI SPRINGER-B UR - https://www.unicat.be/uniCat?func=search&query=sysid:56711255 AB - 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, 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).   ER -