Stochastic Control in Discrete and Continuous Time

This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete ti...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Seierstad, Atle (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: New York, NY : Springer US : Imprint: Springer, 2009.
Edition:1st ed. 2009.
Subjects:
Probabilities.
Econometrics.
Mathematical optimization.
Calculus of variations.
System theory.
Control theory.
Probability Theory.
Quantitative Economics.
Calculus of Variations and Optimization.
Systems Theory, Control .
Online Access:Texto Completo
Table of Contents:
  • Stochastic Control over Discrete Time
  • The HJB Equation for Deterministic Control
  • Piecewise Deterministic Optimal Control Problems
  • Control of Diffusions
  • Appendix: Probability, Concepts, and Results.

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