Synopsis
This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed. Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.
"synopsis" may belong to another edition of this title.
From the Back Cover
This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed.
Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.
"About this title" may belong to another edition of this title.
Other Popular Editions of the Same Title
Search results for Controlled Diffusion Processes: 14 (Stochastic Modelling...
Stock Image
Controlled Difusion Processes
Seller: Basi6 International, Irving, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEOCT25-242933
Stock Image
Controlled Diffusion Processes
Seller: Books Puddle, New York, NY, U.S.A.
Seller rating 4 out of 5 stars
Condition: New. pp. 324. Seller Inventory # 26473878
Stock Image
Controlled Diffusion Processes (Stochastic Modelling and Applied Probability, 14)
Seller: ALLBOOKS1, Direk, SA, Australia
Seller rating 5 out of 5 stars
Brand new book. Fast ship. Please provide full street address as we are not able to ship to P O box address. Seller Inventory # SHAK242933
Stock Image
Controlled Diffusion Processes
Seller: Majestic Books, Hounslow, United Kingdom
Seller rating 4 out of 5 stars
Condition: New. pp. 324 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. Seller Inventory # 7374025
Buy New
£ 48.04
£ 6.50 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
International Edition
CONTROLLED DIFFUSION PROCESSES (PB 1980)
International EditionSeller: UK BOOKS STORE, London, LONDO, United Kingdom
Seller rating 4 out of 5 stars
Condition: New. Brand New ! Fast Delivery "International Edition " and ship within 24-48 hours. Deliver by FedEx and Dhl, & Aramex, UPS, & USPS and we do accept APO and PO BOX Addresses. Order can be delivered worldwide within 4-6 Working days .and we do have flat rate for up to 2LB. Extra shipping charges will be requested This Item May be shipped from India, United states & United Kingdom. Depending on your location and availability. Seller Inventory # CBS 9783540709138
Buy New
£ 43.92
£ 12.98 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
Stock Image
Controlled Diffusion Processes (Stochastic Modelling and Applied Probability, 14)
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # ABLIING23Mar3113020175347
Stock Image
Controlled Diffusion Processes (Stochastic Modelling and Applied Probability, 14)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In. Seller Inventory # ria9783540709138_new
Buy New
£ 84.30
£ 11.98 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: Over 20 available
Stock Image
Controlled Diffusion Processes
Seller: Chiron Media, Wallingford, United Kingdom
Seller rating 4 out of 5 stars
PF. Condition: New. Seller Inventory # 6666-IUK-9783540709138
Buy New
£ 84.41
£ 15.49 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 10 available
Seller Image
Controlled Diffusion Processes
Published by
Springer Berlin Heidelberg Okt 2008, 2008
ISBN 10: 3540709134
ISBN 13: 9783540709138
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory. 324 pp. Englisch. Seller Inventory # 9783540709138
Seller Image
Controlled Diffusion Processes
Published by
Springer Berlin Heidelberg, 2008
ISBN 10: 3540709134
ISBN 13: 9783540709138
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 4 out of 5 stars
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Includes supplementary material: sn.pub/extrasStochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature ap. Seller Inventory # 4899075
Buy New
£ 82.91
£ 42.74 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available