Items related to Controlled Diffusion Processes (Stochastic Modelling...
Synopsis
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic...
From the Back Cover
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,...
Review
From the reviews:
“The book treats a large class of fully nonlinear parabolic PDEs via probabilistic methods. ... The monograph may be strongly recommended as an excellent reading to PhD students, postdocs et al working in the area of controlled stochastic processes and/or nonlinear partial differential equations of the second order. ... recommended to a wider audience of all students specializing in stochastic analysis or stochastic finance starting from MSc..."About this title" may belong to another edition of this title.
- PublisherSpringer
- Publication date2008
- ISBN 10 3540709134
- ISBN 13 9783540709138
- BindingPaperback
- LanguageEnglish
- Number of pages322
Search results for Controlled Diffusion Processes (Stochastic Modelling...
Stock Image
Controlled Diffusion Processes
Seller: Books Puddle, New York, NY, U.S.A.
Seller rating 4 out of 5 stars
Condition: New. pp. 324. Seller Inventory # 26473878
Quantity: 4 available
Stock Image
Controlled Diffusion Processes
Seller: Majestic Books, Hounslow, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. pp. 324 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. Seller Inventory # 7374025
Quantity: 4 available
Stock Image
Controlled Diffusion Processes (Pb 2009)
Seller: Basi6 International, Irving, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEJUNE24-269341
Quantity: 4 available
Stock Image
Controlled Diffusion Processes (Pb 2009)
Seller: Romtrade Corp., STERLING HEIGHTS, MI, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Seller Inventory # ABNR-77925
Quantity: 1 available
Stock Image
Controlled Diffusion Processes
Seller: Biblios, Frankfurt am main, HESSE, Germany
Seller rating 5 out of 5 stars
Condition: New. pp. 324. Seller Inventory # 18473884
Quantity: 4 available
Stock Image
Controlled Difusion Processes
Seller: Basi6 International, Irving, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEJUNE24-269342
Quantity: 1 available
Seller Image
Controlled Diffusion Processes
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 5834465-n
Quantity: 1 available
Stock Image
Controlled Diffusion Processes (Stochastic Modelling and Applied Probability, 14)
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # ABLIING23Mar3113020175347
Quantity: Over 20 available
Stock Image
Controlled Diffusion Processes
Seller: Chiron Media, Wallingford, United Kingdom
Seller rating 5 out of 5 stars
PF. Condition: New. Seller Inventory # 6666-IUK-9783540709138
Quantity: 10 available
Seller Image
Controlled Diffusion Processes
Seller: GreatBookPricesUK, Woodford Green, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 5834465-n
Quantity: 1 available