Author | Krylov, Nicolai V. author |
---|---|

Title | Controlled Diffusion Processes [electronic resource] / by Nicolai V. Krylov |

Imprint | New York, NY : Springer New York, 1980 |

Connect to | http://dx.doi.org/10.1007/978-3-540-70914-5 |

Descript | XII, 310 p. online resource |

SUMMARY

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

CONTENT

to the Theory of Controlled Diffusion Processes -- Auxiliary Propositions -- General Properties of a Payoff Function -- The Bellman Equation -- The Construction of ?-Optimal Strategies -- Controlled Processes with Unbounded Coefficients: The Normed Bellman Equation

Mathematics
System theory
Probabilities
Mathematics
Systems Theory Control
Probability Theory and Stochastic Processes