Controlled Diffusion Processes (Stochastic Modelling And Applied Probability): 14 - Softcover

Krylov, N. V.

Softcover

ISBN 10: 3540709134 ISBN 13: 9783540709138

Verlag: Springer, 2008

Inhaltsangabe

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

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This book deals with the optimal control of solutions of fully observable Itô-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 L_p-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 2008
• Sprache: Englisch
• ISBN 10: 3540709134
• ISBN 13: 9783540709138
• Einband: Tapa blanda
• Anzahl der Seiten: 324
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Deutschland