ENGLISH

Controlled Diffusion Processes

By A.B. Aries , Nikolai Vladimirovich Krylov

Book information

Publisher
Springer-Verlag GmbH
Year
2008
ISBN
3540709134, 9783540709138
Language
english
Format
PDF
Filesize
14 MB (14160712 bytes)
Series
Applications of Mathematics
Edition
1st ed. 1980. Corr. 2nd printing.
Pages
314\314
Time added
2011-01-06 10:13:16

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.

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