Controlled Diffusion Processes: 14 (Stochastic Modelling and Applied Probability, 14) - Image 1

£44.19

Springer Controlled Diffusion Processes: 14 (Stochastic Modelling and Applied Probability, 14)

Name: Controlled Diffusion Processes: 14 (Stochastic Modelling and Applied Probability, 14)
Brand: Springer
Price: 44.19 GBP
Availability: InStock

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Description

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 dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 3540709134
Category: Books > Subjects > Reference
Domain: Amazon UK
Release Date: 15 October 2008
Listed Since: 23 June 2008

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Springer Controlled Diffusion Processes: 14 (Stochastic Modelling and Applied Probability, 14)

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