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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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
New York, NY :
Springer New York,
1980.
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| Series: | Stochastic Modelling and Applied Probability ;
14. |
| Subjects: | |
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