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Título: Controlled Diffusion Processes | |
| Autor: Krylov N. V. | Precio: $1564.00 | |
| Editorial: Springer Publishing Company | Año: 2009 | |
| Tema: Matematicas, Textos | Edición: 1ª | |
| Sinopsis | ISBN: 9783540709138 | |
| 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. |
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