Controlled Diffusion Processes

Krylov N. V.

ISBN 10: 3540709134 / ISBN 13: 9783540709138

Editore: Springer, 2008

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Dati bibliografici

• Titolo: Controlled Diffusion Processes
• Editore: Springer
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 3540709134
• ISBN 13: 9783540709138
• Rilegatura: Brossura
• Condizione: 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.