Stochastic Control In Discrete And Continuous Time - Seierstad Atle | Libro Springer 12/2011 - HOEPLI.it


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seierstad atle - stochastic control in discrete and continuous time

Stochastic Control in Discrete and Continuous Time




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Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Springer

Pubblicazione: 12/2011
Edizione: 2009





Sommario

Stochastic Control over Discrete Time.- The HJB Equation for Deterministic Control.- Piecewise Deterministic Optimal Control Problems.- Control of Diffusions.- Appendix: Probability, Concepts, and Results.




Trama

This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.







Altre Informazioni

ISBN:

9781441945693

Condizione: Nuovo
Dimensioni: 235 x 155 mm Ø 468 gr
Formato: Brossura
Pagine Arabe: 222
Pagine Romane: x






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