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AuthorKrylov, Nicolai V. author
TitleControlled Diffusion Processes [electronic resource] / by Nicolai V. Krylov
ImprintNew York, NY : Springer New York, 1980
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Descript XII, 310 p. online resource


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


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


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