||1 of 1 people found the following review helpful.| Solid, challenging|By Dimitri Shvorob|An excellent book, but one for people with serious mathematical bent; I would be very impressed with an undergrad or a master's student in finance (supposedly part of target audience) able to handle this book's technical level, and perhaps point him/her to less challenging references. (For example, dynamic programming is a standard part of|||From the reviews:|“This book presents Markov decision processes with general state and action spaces and includes various state-of-the-art applications that stem from finance and operations research. … very helpful, not only for graduate student
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 ob...
[PDF.ss38] Markov Decision Processes with Applications to Finance (Universitext) Rating: 4.77 (728 Votes)
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