Controlled Diffusion Processes

N. V. Krylov A. B. Aries

ISBN 10: 3540709134 / ISBN 13: 9783540709138

Published by Springer, 2008

About this Item

pp. 324.

Seller Inventory # 26473878

Bibliographic Details

• Title: Controlled Diffusion Processes
• Publisher: Springer
• Publication Date: 2008
• Language: English
• ISBN 10: 3540709134
• ISBN 13: 9783540709138
• Binding: Soft cover
• Condition: New

About this title

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.