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Stochastic Control in Discrete and Continuous Time
Atle Seierstad
€ 67.03
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Description for Stochastic Control in Discrete and Continuous Time
Paperback. This book is a comprehensive introduction to stochastic control problems in both discrete and continuous time. It covers stochastic dynamic programming and the optimal stopping problem for discrete time with a finite or infinite horizon. Num Pages: 222 pages, 5 black & white tables, biography. BIC Classification: PBWL. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 16. Weight in Grams: 468.
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and ... Read more
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and ... Read more
Product Details
Format
Paperback
Publication date
2011
Publisher
Springer-Verlag New York Inc. United States
Number of pages
222
Condition
New
Number of Pages
222
Place of Publication
New York, NY, United States
ISBN
9781441945693
SKU
V9781441945693
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Stochastic Control in Discrete and Continuous Time
From the reviews: "This book provides a comprehensive introduction to stochastic control. … The treatment is at the level of a first course, with several examples and exercises. The book can be used by undergraduate students, but also by graduate students, engineers and others who study control, systems and related areas or want to extend their knowledge in ... Read more