Controlled Diffusion Processes

N. V. Krylov A. B. Aries

ISBN 10: 3540709134 / ISBN 13: 9783540709138

Verlag: Springer, 2008

Beschreibung

pp. 324.

Bestandsnummer des Verkäufers 26473878

Bibliografische Details

• Titel: Controlled Diffusion Processes
• Verlag: Springer
• Erscheinungsjahr: 2008
• Sprache: Englisch
• ISBN-10: 3540709134
• ISBN-13: 9783540709138
• Einband: Softcover
• Zustand: New

Über diesen Titel

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.