Markov Decision Processes with Applications to Finance

Nicole Bäuerle is full professor for Stochastics at the Karlsruhe Institute of Technology. Currently she is in the board of the Fachgruppe Stochastik and the DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik). She is editor of the journals "Stochastic Models" and "Mathematical Methods of Operations Research". Ulrich Rieder is full professor for Optimization and Operations Research at the University of Ulm since 1980. He helped to establish a new program in applied mathematics at Ulm, called Wirtschaftsmathematik. From 1990-2008 he was editor-in-chief of "Mathematical Methods of Operations Research". He is editor of several journals in the areas of operations research and finance.

Preface
1.Introduction and First Examples
Part I Finite Horizon Optimization Problems and Financial Markets
2.Theory of Finite Horizon Markov Decision Processes
3.The Financial Markets
4.Financial Optimization Problems
Part II Partially Observable Markov Decision Problems
5.Partially Observable Markov Decision Processes
6.Partially Observable Markov Decision Problems in Finance
Part III Infinite Horizon Optimization Problems
7.Theory of Infinite Horizon Markov Decision Processes
8.Piecewise Deterministic Markov Decision Processes
9.Optimization Problems in Finance and Insurance
Part IV Stopping Problems
10.Theory of Optimal Stopping Problems
11.Stopping Problems in Finance
Part V Appendix
A.Tools from Analysis
B.Tools from Probability
C.Tools from Mathematical Finance
References
Index.

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 students, but also for researchers working in the field of MDPs and finance. The authors do not focus only on discrete-time MDPs, but provide the description of different classes of Markov models ... . Each chapter ends with remarks, where the potential reader may find further hints concerning references." (Anna Jaskiewicz, Zentralblatt MATH, Vol. 1236, 2012)