Controlled diffusion processes
著者
書誌事項
Controlled diffusion processes
（Applications of mathematics, 14）
Springer, c2009
- : pbk
大学図書館所蔵 件 / 全12件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
"Soft cover reprint of the 1980 edition"--T.p. verso
"Translated from the Russian edition published by Nauka, Moscow 1977"--T.p. verso
Bibliography: p. 303-306
Includes index
内容説明・目次
内容説明
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.
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.
「Nielsen BookData」 より