Stochastic Stability and Control

✍ Scribed by Kushner

• Publisher: Academic Press
• Year: 1967
• Tongue: English
• Leaves: 177
• Category: Library

✦ Synopsis

From Contents: Introduction - Markov Processes, Ito Processes, Poisson Differential Equations; Stochastic Stability - Definitions, Liapunov function, Theorems, Continuous Parameter; Finite Time Stability and First Exit Times; Optimal Stochastic Control - Dynamic programming algorithm, Theorems, Examples; Design of Controls - Calculation that assure a given stability. (Description by http-mart)

✦ Table of Contents

Front Cover......Page 1
Stochastic Stability and Control......Page 6
Copyright Page......Page 7
Contents......Page 14
Preface......Page 10
1. Markov Processes......Page 16
2. Strong Markov Processes......Page 19
3. Stopped Processes......Page 26
4. Itô Processes......Page 27
5. Poisson Differential Equations......Page 33
6. Strong Diffusion Processes......Page 37
7. Martingales......Page 40
1. Introduction......Page 42
2. Theorems. Continuous Parameter......Page 51
3. Examples......Page 70
4. Discrete Parameter Stability......Page 86
5. On the Construction of Stochastic Liapunov Functions......Page 87
1. Introduction......Page 92
2. Theorems......Page 94
3. Examples......Page 106
1. Introduction......Page 117
2. Theorems......Page 124
3. Examples......Page 145
4. A Discrete Parameter Theorem......Page 156
1. Introduction......Page 158
2. The Calculation of Controls Which Assure a Given Stability Property......Page 159
3. Design of Controls to Decrease the Cost......Page 162
The Liapunov function approach to design......Page 165
References......Page 168
Author Index......Page 174
Subject Index......Page 175