Controlled Diffusion Processes

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Controlled Diffusion Processes

Controlled Diffusion Processes

Name: Controlled Diffusion Processes
ISBN: 9783540709138

Nicolai V. Krylov (auth.)

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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 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:

Engineering

Rok:

1980

Wydanie:

Wydawnictwo:

Springer-Verlag Berlin Heidelberg

Język:

english

Strony:

310

ISBN 10: