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Controlled Diffusion Processes
Nicolai V. Krylov (auth.)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.
Kategorie:
Rok:
1980
Wydanie:
1
Wydawnictwo:
Springer-Verlag Berlin Heidelberg
Język:
english
Strony:
310
ISBN 10:
3540709134
ISBN 13:
9783540709138
Serie:
Stochastic Modelling and Applied Probability 14
Plik:
DJVU, 1.67 MB
IPFS:
,
english, 1980