Controlled Diffusion Processes
β N. V. Krylov
π Library
π
1980
π Springer
π English
β¦ LIBER β¦
π
Controlled Diffusion Processes
β Scribed by Nikolai Vladimirovich Krylov, A.B. Aries
- Publisher
- Springer-Verlag Gmbh
- Year
- 2008
- Tongue
- English
- Leaves
- 314
- Series
- Applications of Mathematics
- Edition
- 1st ed. 1980. Corr. 2nd printing.
- Category
- Library
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β¦ Synopsis
This book deals with the optimal control of solutions of fully observable ItΓ΄-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 ItΓ΄ formula for functions; and the Bellman principle, equation, and normalized equation.
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