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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Seierstad, Atle (Auteur)
Collectivité auteur: SpringerLink (Online service)
Format: Électronique eBook
Langue:Inglés
Publié: New York, NY : Springer US : Imprint: Springer, 2009.
Édition:1st ed. 2009.
Sujets:
Probabilities.
Econometrics.
Mathematical optimization.
Calculus of variations.
System theory.
Control theory.
Probability Theory.
Quantitative Economics.
Calculus of Variations and Optimization.
Systems Theory, Control .
Accès en ligne:Texto Completo
Table des matières:
  • 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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