Controlled Diffusion Processes
|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
General Properties of a Payoff Function
The Bellman Equation
The Construction of ?-Optimal Strategies
Controlled Processes with Unbounded Coefficients: The Normed Bellman Equation.
|本文を見る||Full text available from SpringerLink ebooks - Mathematics and Statistics (Archive)|