Controlled diffusion processes /

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 dimension...

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Bibliographic Details

Main Author:	Krylov, N. V. (Nikolaĭ Vladimirovich)
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Berlin : Springer, [2009]
Series:	Stochastic modelling and applied probability ; 14.
Subjects:	Stochastic control theory. Diffusion processes. Electronic books.
Online Access:	Connect to the full text of this electronic book