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Controlled Diffusion Processes
N. V. Krylov
€ 128.03
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Description for Controlled Diffusion Processes
paperback. 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. Translator(s): Aries, A. B. Series: Stochastic Modelling and Applied Probability. Num Pages: 322 pages, biography. BIC Classification: PBT; PBW. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 17. Weight in Grams: 498.
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making ... Read more
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making ... Read more
Product Details
Format
Paperback
Publication date
2008
Publisher
Springer Germany
Number of pages
322
Condition
New
Series
Stochastic Modelling and Applied Probability
Number of Pages
310
Place of Publication
Berlin, Germany
ISBN
9783540709138
SKU
V9783540709138
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Controlled Diffusion Processes
From the reviews: “The book treats a large class of fully nonlinear parabolic PDEs via probabilistic methods. … The monograph may be strongly recommended as an excellent reading to PhD students, postdocs et al working in the area of controlled stochastic processes and/or nonlinear partial differential equations of the second order. … recommended to a wider audience of all ... Read more