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Sinopsis
A classic reference, this book is being reprinted because many of its results have found applications in the popular area of mathematical finance.
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Reseña del editor
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.
Reseña del editor
The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also inlcudes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.
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- EditorialSpringer
- Año de publicación2012
- ISBN 10 1461263824
- ISBN 13 9781461263821
- EncuadernaciónTapa blanda
- IdiomaInglés
- Número de páginas236
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Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability (1))
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Deterministic and Stochastic Optimal Control
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Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability)
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Deterministic and Stochastic Optimal Control
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Springer New York Feb 2012, 2012
ISBN 10: 1461263824
ISBN 13: 9781461263821
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle. 236 pp. Englisch. Nº de ref. del artículo: 9781461263821
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Deterministic and Stochastic Optimal Control
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Springer New York, Springer New York, 2012
ISBN 10: 1461263824
ISBN 13: 9781461263821
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Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle. Nº de ref. del artículo: 9781461263821
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Deterministic and Stochastic Optimal Control
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Springer New York, Springer New York Feb 2012, 2012
ISBN 10: 1461263824
ISBN 13: 9781461263821
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Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
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Taschenbuch. Condición: Neu. Neuware -This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 236 pp. Englisch. Nº de ref. del artículo: 9781461263821
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Deterministic and Stochastic Optimal Control
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Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability)
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Deterministic and Stochastic Optimal Control
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Deterministic and Stochastic Optimal Control
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Condición: New. PRINT ON DEMAND pp. 236. Nº de ref. del artículo: 1897514465
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