Controlled Diffusion Processes (Stochastic Modelling and Applied Probability)

Nikolai Vladimirovich Krylov

ISBN 10: 3540709134 / ISBN 13: 9783540709138

Published by Springer, 2008

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Seller Inventory # D7F7-3-M-3540709134-6

Bibliographic Details

• Title: Controlled Diffusion Processes (Stochastic Modelling and Applied Probability)
• Publisher: Springer
• Publication Date: 2008
• Language: English
• ISBN 10: 3540709134
• ISBN 13: 9783540709138
• Binding: Paperback
• Condition: Like New
• Book Type: book

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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.