Controlled Diffusion Processes (Pb 2009)
KRYLOV N.V.
ISBN 10: 3540709134 ISBN 13: 9783540709138
Published by SP SPRINGER, 1980
New
Soft cover
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About this Item
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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.
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.
Bibliographic Details
Title: Controlled Diffusion Processes (Pb 2009)
Publisher: SP SPRINGER
Publication Date: 1980
Binding: Soft cover
Condition: New
Edition: International Edition
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Controlled Diffusion Processes
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Springer Berlin Heidelberg, 2008
ISBN 10: 3540709134
ISBN 13: 9783540709138
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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
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