Chance and Decision. Stochastic Control in Discrete Time

Language: English

Published by Scuola Normale Superiore Okt 1996, 1996

8876422420 / 9788876422423

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Neuware - Mathematical theory of discrete time decision processes, also known as stochastic control, is based on two major ideas: backward induction and conditioning. It has a large number of applications in almost all branches of the natural sciences. The aim of these notes is to give a self-contained introduction to this theory and its applications. Our intention was to give a global and mathematically precise picture of the subject and present well motivated examples. We cover systems with complete or partial information as well as with complete or partial observation. We have tried to present in a unified way several topics such as dynamic programming equations, stopping problems, stabilization, Kalman-Bucy filter, linear regulator, adaptive control and option pricing. The notes discuss a large variety of models rather than concentrate on general existence theorems.

Seller Inventory # 9788876422423

Title
Chance and Decision. Stochastic Control in Discrete Time
Author
Jerzy Zabczyk
Publisher
Scuola Normale Superiore Okt 1996
Publication year
1996
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
8876422420
ISBN 13
9788876422423
Item weight
413 grams
Dimensions
241x167x12 mm

AHA-BUCH GmbH

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