Titolo: Controlled Diffusion Processes (Stochastic Modelling and Applied Probability, 14)
Editore: Springer
Data di pubblicazione: 2008
Lingua: Inglese
ISBN 10: 3540709134
ISBN 13: 9783540709138
Rilegatura: Brossura
Condizione: New

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Riassunto

This book deals with the optimal control of solutions of fully observable It�-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 It� formula for functions; and the Bellman principle, equation, and normalized equation.

Dalla quarta di copertina

Topics include optimal stopping; one dimensional controlled diffusion; the L_p-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the It� formula for functions; and the Bellman principle, equation, and normalized equation.

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