Stochastic Control Theory

Name: Stochastic Control Theory
Brand: Springer Verlag, Japan
SKU: 9784431551225
Price: 71.5 EUR
Availability: InStock

Dynamic Programming Principle

Autor: Makiko Nisio

Jazyk:

Väzba: Pevná

Vydavateľ: Springer Verlag, Japan

Dostupnosť: Skladom u dodávateľa

Odosielame za 10-18 dní

71.50 €

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

Informácie o knihe

Autor

Makiko Nisio

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2014

Stránok

250

EAN

9784431551225

ISBN

4431551220

Enbook ID

02747774

Vydavateľ

Springer Verlag, Japan

Hmotnosť

538

Rozmery

162 x 245 x 20

Kompletný popis

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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