Controlled diffusion processes. (=Applications of mathematics ; 14)

Krylov, Nikolaj V.:

ISBN 10: 3540904611 / ISBN 13: 9783540904618

Published by New York ; Heidelberg ; Berlin : Springer, 1980

About this Item

XII, 308 p. Good. Ex-library with usual markings. Clean pages. Sprache: Deutsch Gewicht in Gramm: 660.

Seller Inventory # 895705

Bibliographic Details

• Title: Controlled diffusion processes. (=Applications of mathematics ; 14)
• Publisher: New York ; Heidelberg ; Berlin : Springer
• Publication Date: 1980
• Language: German
• ISBN 10: 3540904611
• ISBN 13: 9783540904618
• Binding: Cloth.
• Condition: Gut
• Weight: 660 grams
• Seller catalogs:
  • Mathematik

About this title

Synopsis

This book covers the optimal control of solutions of fully observable Ito-type stochastic differential equations. It proves the validity of the Bellman differential equation for payoff functions and develops rules for optimal control strategies.

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, and normalized equation.