Controlled Diffusion Processes

N. V. Krylov

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Language: English

Published by Springer, 2011

1461260531 / 9781461260530

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Druck auf Anfrage Neuware - Printed after ordering - Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsanov [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4J. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8J, Mine and Osaki [55J, and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.

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Title
Controlled Diffusion Processes
Author
N. V. Krylov
Publisher
Springer
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
1461260531
ISBN 13
9781461260530
Item weight
493 grams
Dimensions
235x155x18 mm

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