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Stochastic Control in Discrete and Continuous Time / by Atle Seierstad
Edition | 1st ed. 2009. |
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Publisher | (New York, NY : Springer US : Imprint: Springer) |
Year | 2009 |
Language | English |
Size | X, 222 p : online resource |
Authors | *Seierstad, Atle author SpringerLink (Online service) |
Subjects | LCSH:Probabilities LCSH:Econometrics LCSH:Mathematical optimization LCSH:Calculus of variations LCSH:System theory LCSH:Control theory FREE:Probability Theory FREE:Quantitative Economics FREE:Calculus of Variations and Optimization FREE:Systems Theory, Control |
Notes | Stochastic Control over Discrete Time -- The HJB Equation for Deterministic Control -- Piecewise Deterministic Optimal Control Problems -- Control of Diffusions -- Appendix: Probability, Concepts, and Results 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 time and HJB-equations in continuous time. Topics covered include stochastic maximum principles for discrete time and continuous time, even for problems with terminal conditions. Numerous illustrative examples and exercises, with solutions at the end of the book, are included to enhance the understanding of the reader. By interlinking many fields in stochastic control, the material gives the student the opportunity to see the connections between different fields and the underlying ideas that unify them. This text will benefit students in applied mathematics, economics, engineering, and related fields. Prerequisites include a course in calculus and elementary probability theory. No knowledge of measure theory is assumed HTTP:URL=https://doi.org/10.1007/978-0-387-76617-1 |
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E-Book | Location | Media type | Volume | Call No. | Status | Reserve | Comments | ISBN | Printed | Restriction | Designated Book | Barcode No. |
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E-Book | オンライン | 電子ブック |
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Springer eBooks | 9780387766171 |
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電子リソース |
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EB00231014 |
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Material Type | E-Book |
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Classification | LCC:QA273.A1-274.9 DC23:519.2 |
ID | 4000118588 |
ISBN | 9780387766171 |
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