Controlled Diffusion Processes: Stochastic Modelling and Applied Probability 豆 0.0分

资源最后更新于 2020-11-21 02:19:22

作者：Nikolai Vladimirovich Krylov

译者：A.B. Aries

出版社：Springer

出版日期：2008-01

ISBN：9783540709138

文件格式： pdf

标签： 工具书 math MF

简介· · · · · ·

This book deals with the optimal control of solutions of fully observable Itô-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;...