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Controlled Diffusion Processes

by N. V. Krylov
Save 35% Save 35%
Current price ₹10,900.00
Original price ₹16,769.00
Original price ₹16,769.00
Original price ₹16,769.00
(-35%)
₹10,900.00
Current price ₹10,900.00

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Book cover type: Hardcover
  • ISBN13: 9780387904610
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 308
  • Original Price: EUR 149.99
  • Language: English
  • Edition: 1980
  • Item Weight: 631 grams
  • BISAC Subject(s): Robotics, Probability & Statistics / General, and Applied

From the Back Cover

This book deals with the optimal control of solutions of fully observable Ito-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 Ito formula for functions; and the Bellman principle, equation, and normalized equation.

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