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Controlled diffusion processes /

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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
Table of Contents:
  • to the Theory of Controlled Diffusion Processes
  • Auxiliary Propositions
  • General Properties of a Payoff Function
  • The Bellman Equation
  • The Construction of ?-Optimal Strategies
  • Controlled Processes with Unbounded Coefficients: The Normed Bellman Equation.