Controlled Diffusion Processes

Krylov, N. V./ Aries, A. B. (Translator)

ISBN 10: 3540709134 / ISBN 13: 9783540709138

Editore: Springer-Verlag Berlin And Heidelberg Gmbh & Co. Kg, 2008

Riguardo questo articolo

reprint edition. 307 pages. 9.25x6.25x0.75 inches. In Stock.

Codice articolo x-3540709134

Dati bibliografici

• Titolo: Controlled Diffusion Processes
• Editore: Springer-Verlag Berlin And Heidelberg Gmbh & Co. Kg
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 3540709134
• ISBN 13: 9783540709138
• Rilegatura: Paperback
• Condizione: Brand New

Descrizione articolo

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.