Controlled Diffusion Processes: 14 (Stochastic Modelling and Applied Probability) - Tapa blanda

Krylov, N.V.

 
9781461260530: Controlled Diffusion Processes: 14 (Stochastic Modelling and Applied Probability)
Tapa blanda
ISBN 10: 1461260531 ISBN 13: 9781461260530
Editorial: Springer, 2011

Sinopsis

Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsanov [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4J. 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 [8J, Mine and Osaki [55J, 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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsanov [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4J. 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 [8J, Mine and Osaki [55J, 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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2011
Idioma
Inglés
ISBN 10 
1461260531
ISBN 13 
9781461260530
Encuadernación
Tapa blanda
Número de páginas
324
Contacto del fabricante
Springer Nature Customer Service Center GmbH
ProductSafety@springernature.com

Europaplatz 3
Heidelberg
69115
Alemania

Otras ediciones populares con el mismo título

9783540709138: Controlled Diffusion Processes (Stochastic Modelling And Applied Probability): 14

Edición Destacada

ISBN 10:  3540709134 ISBN 13:  9783540709138
Editorial: Springer, 2008
Tapa blanda