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Bibliografische Details

Titel: Controlled Diffusion Processes (Pb 2009)
Verlag: SP SPRINGER
Erscheinungsjahr: 1980
Sprache: Englisch
ISBN-10: 3540709134
ISBN-13: 9783540709138
Einband: Softcover
Auflage: Internationale Ausgabe
Zustand: Brand New

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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 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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Topics include optimal stopping; one dimensional controlled diffusion; the L_p-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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