Stochastic Control in Discrete and Continuous Time

Name: Stochastic Control in Discrete and Continuous Time
Brand: Springer-Verlag New York Inc.
SKU: 9780387766164
Price: 271.68 RON
Availability: InStock

Autor: Atle Seierstad

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Legare: Copertă tare

Editura: Springer-Verlag New York Inc.

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271.68 lei

This book provides a comprehensive introduction to stochastic control problems in discrete and conti...

Informații despre carte

Autor

Atle Seierstad

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2008

Pagini

222

EAN

9780387766164

ISBN

0387766162

Enbook ID

01382924

Editura

Springer-Verlag New York Inc.

Greutate

554

Dimensiuni

155 x 235 x 21

Descriere completă

This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case using few mathematical tools before proceeding to the stochastic continuous-time models requiring more advanced mathematics. Topics covered include stochastic maximum principles for discrete time, continuous time, and for problems with terminal conditions. A nonstandard treatment of piecewise deterministic problems, related to some control problems, is also presented. Numerous illustrative examples and exercises are included to enhance the understanding of the reader. By interlinking many fields in stochastic control, the material gives the student the opportunity to see the connections between different fields and the underlying ideas that unify them.§This text will be of benefit to students in economics, engineering, applied mathematics and related fields. Prerequisites include a course in calculus and elementary probability theory.

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Stochastic Control in Discrete and Continuous Time

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