This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance. In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.

/pdf/controlled-markov-processes-and-viscosity-solutions-4n8p6ywj5v.pdf

Positive solutions of operator equations

Controlled Markov processes and viscosity solutions

Analytic Combinatorics is a self-contained treatment of the mathematics underlying the analysis of discrete structures, which has emerged over the past several decades as an essential tool in the understanding of properties of computer programs and scientific models with applications in physics, biology and chemistry. Thorough treatment of a large number of classical applications is an essential aspect of the presentation. Written by the leaders in the field of analytic combinatorics, this text is certain to become the definitive reference on the topic. The text is complemented with exercises, examples, appendices and notes to aid understanding therefore, it can be used as the basis for an advanced undergraduate or a graduate course on the subject, or for self-study.

background

Analytic Combinatorics

https://jxshix.people.wm.edu/2013-taiwan/crandall-rabinowitz-1971-JFA.pdf

Bifurcation from simple eigenvalues

http://emis.maths.adelaide.edu.au/journals/TJNSA/pdf/BQ.pdf

Positive solutions for boundary value problem of nonlinear fractional differential equation

Part I. Stationary waves: Scalar equation Leray-Schauder degree Existence of waves Structure of the spectrum Stability and approach to a wave Part II. Bifurcation of waves: Bifurcation of nonstationary modes of wave propagation Mathematical proofs Part III. Waves in chemical kinetics and combustion: Waves in chemical kinetics Combustion waves with complex kinetics Estimates and asymptotics of the speed of combustion waves Asymptotic and approximate analytical methods in combustion problems (supplement) Bibliography.

/pdf/traveling-wave-solutions-of-parabolic-systems-21vts2b7ns.pdf

Positive solutions of operator equations

Citations

Controlled Markov processes and viscosity solutions

Analytic Combinatorics

Bifurcation from simple eigenvalues

Positive solutions for boundary value problem of nonlinear fractional differential equation

Traveling wave solutions of parabolic systems

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