Stochastic Control Theory

Name: Stochastic Control Theory
Brand: Springer Verlag, Japan
SKU: 9784431551225
Price: 1643 CZK
Availability: InStock

Dynamic Programming Principle

Autor: Makiko Nisio

Jazyk:

Vazba: Pevná

Vydavatel: Springer Verlag, Japan

Dostupnost: Skladem u dodavatele

Odesíláme za 10-18 dnů

1 643 Kč

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

Informace o knize

Autor

Makiko Nisio

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2014

Stránek

250

EAN

9784431551225

ISBN

4431551220

Enbook ID

02747774

Vydavatel

Springer Verlag, Japan

Hmotnost

538

Rozměry

162 x 245 x 20

Kompletní 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.

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Stochastic Control Theory

Dynamic Programming Principle

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také