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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| Format: | eBook |
| Language: | English |
| Published: |
Berlin :
Springer,
[2009]
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| Series: | Stochastic modelling and applied probability ;
14. |
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | "Reprint of the 1980 edition." |
| Physical Description: | 1 online resource (xii, 308 pages) |
| Bibliography: | Includes bibliographical references (pages 303-306) and index. |
| ISBN: | 9783540709145 (electronic bk.) 3540709142 (electronic bk.) |