Stochastic Control Theory

Name: Stochastic Control Theory
Brand: Springer Verlag, Japan
SKU: 9784431551225
Price: 374.82 RON
Availability: InStock

Dynamic Programming Principle

Autor: Makiko Nisio

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Legare: Copertă tare

Editura: Springer Verlag, Japan

Disponibilitate: În depozitul extern

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374.82 lei

This book provides an introduction to stochastic controls, via the method of dynamic programming, fo...

Informații despre carte

Autor

Makiko Nisio

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2014

Pagini

250

EAN

9784431551225

ISBN

4431551220

Enbook ID

02747774

Editura

Springer Verlag, Japan

Greutate

538

Dimensiuni

162 x 245 x 20

Descriere completă

This book provides an introduction to stochastic controls, via the method of dynamic programming, formulated by nonlinear semigroup. The dynamic programming principle, originated by R. Bellman in 1950s, is known as the two stage optimization procedure and gives a powerful tool to analyze stochastic control problems. Through the dependence of value function on its terminal cost function, we construct a nonlinear two parameter semigroup which formulates the dynamic programming principle and whose generator provides Hamilton--Jacobi--Bellman equation. Here we mainly concerned with finite time horizon stochastic controls. But we also apply the semigroup approach to control-stopping problems and stochastic differential games together with examples in financial market models. This book is organized as follows. Chapters 1--4 deal with completely observable finite dimensional controlled diffusions. Chapters 5 and 6 are concerned with Hilbert space valued stochastic processes, related to partially observable control problems.

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Stochastic Control Theory

Dynamic Programming Principle

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