Controlled Diffusion Processes (Stochastic Modelling And Applied Probability): 14 - Brossura

Krylov, N. V.

Brossura

ISBN 10: 3540709134 ISBN 13: 9783540709138

Casa editrice: Springer, 2008

Riassunto

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.

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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 L_p-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 3540709134
• ISBN 13: 9783540709138
• Rilegatura: Copertina flessibile
• Numero di pagine: 324
• Contatto del produttore: non disponibile
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