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. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
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