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Controlled Diffusion Processes

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概要 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 a...nd rules for optimal control strategies are developed. Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.続きを見る
目次 to the Theory of Controlled Diffusion Processes
Auxiliary Propositions
General Properties of a Payoff Function
The Bellman Equation
The Construction of ?-Optimal Strategies
Controlled Processes with Unbounded Coefficients: The Normed Bellman Equation.
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登録日 2020.06.27
更新日 2020.06.28