Controlled Diffusion Processes /
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 dimensio...
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| Pengarang Utama: | |
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| Format: | Buku |
| Bahasa: | English |
| Diterbitkan: |
New York, NY :
Springer New York,
1980.
|
| Siri: | Stochastic Modelling and Applied Probability ;
14. |
| Subjek-subjek: | |
| Penanda-penanda: |
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| 020 | |a 9783540709145 | ||
| 020 | |a 9783540709138 (ebk.) | ||
| 020 | |a 9783540709145 | ||
| 020 | |a 9783540709138 | ||
| 024 | 7 | |a 10.1007/978-3-540-70914-5 |2 doi | |
| 035 | |a (Springer)9783540709145 | ||
| 040 | |a Springer | ||
| 050 | 4 | |a QA273.A1-274.9 | |
| 050 | 4 | |a QA274-274.9 | |
| 072 | 7 | |a MAT029000 |2 bisacsh | |
| 072 | 7 | |a PBT |2 bicssc | |
| 072 | 7 | |a PBWL |2 bicssc | |
| 082 | 0 | 4 | |a 519.2 |2 23 |
| 100 | 1 | |a Krylov, Nicolai V., |e author. | |
| 245 | 1 | 0 | |a Controlled Diffusion Processes / |c by Nicolai V. Krylov. |
| 264 | 1 | |a New York, NY : |b Springer New York, |c 1980. | |
| 300 | |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Stochastic Modelling and Applied Probability, |x 0172-4568 ; |v 14 | |
| 505 | 0 | |a to the Theory of Controlled Diffusion Processes -- Auxiliary Propositions -- General Properties of a Payoff Function -- The Bellman Equation -- The Construction of ?-Optimal Strategies -- Controlled Processes with Unbounded Coefficients: The Normed Bellman Equation. | |
| 520 | |a 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. | ||
| 650 | 1 | 0 | |a Mathematics. |
| 650 | 0 | |a Distribution (Probability theory) | |
| 650 | 0 | |a Mathematics. | |
| 650 | 2 | 4 | |a Probability Theory and Stochastic Processes. |
| 776 | 0 | 8 | |i Printed edition: |z 9783540709138 |
| 830 | 0 | |a Stochastic Modelling and Applied Probability ; |v 14. | |
| 988 | |a 20140910 | ||
| 906 | |0 VEN | ||