ENGLISH

Controlled Diffusion Processes

By Nicolai V. Krylov (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
1980
ISBN
9783540709138, 3540709134
DOI
10.1007/978-3-540-70914-5
Language
english
Format
DJVU
Filesize
2 MB (1746286 bytes)
Series
Stochastic Modelling and Applied Probability 14
Edition
1
Pages
310\314
Library
Kolxo3
DPI
300
Scanned
yes
Time added
2009-12-04 00:34:26
Probability Theory and Stochastic Processes

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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