Stochastic control in discrete and continuous time:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 291 S. 235 mm x 155 mm |
| ISBN: | 9780387766171 9780387766164 0387766162 |
Internformat
MARC
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| 100 | 1 | |a Seierstad, Atle |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Stochastic control in discrete and continuous time |c Atle Seierstad |
| 264 | 1 | |a New York, NY |b Springer |c 2009 | |
| 300 | |a XII, 291 S. |c 235 mm x 155 mm | ||
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| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Discrete-time systems | |
| 650 | 4 | |a Stochastic control theory | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface
.
Vil
Stochastic
Control
over Discrete Time
............................ 1
1.1
Stochastic Dynamic Programming
............................ 1
.2
Infinite Horizon
............................................ 9
.3
State and Control-Dependent Probabilities
...................... 13
.4
Stochastic Maximum Principle in Discrete Time
................. 30
.5
Optimal Stopping
.......................................... 39
.6
Infinite Horizon
............................................ 44
.7
Incomplete Observations
.................................... 49
.8
Control with
Kalman
Filter
.................................. 55
.9
Approximate Solution Methods in the Infinite Horizon Case
....... 59
.10
Semi-Markov Decision Models
............................... 65
. 11
Exercises
................................................. 69
2
The
ЩВ
Equation for Deterministic Control
...................... 83
2.1
The Control Problem and Solution Tools
....................... 83
2.2
Terminal Conditions
........................................ 89
2.3
Infinite Horizon
............................................107
2.4
Free Terminal Time Problems, with Free Ends
..................108
2.5
Exercises
.................................................112
3
Piecewise Deterministic Optimal Control Problems
................115
3.1
Free End, Fixed Terminal Time Problems
......................115
3.2
Extremal Method, Free End Case
.............................117
3.3
Precise Necessary Conditions and Sufficient Conditions
..........126
3.4
Problems with Terminal Constraints
...........................133
3.5
The General End Constrained Case
............................137
3.6
Optimal Stopping Problems
..................................156
3.7
A Selection of Proofs
.......................................167
3.8
Exercises
.................................................182
xii Contents
4
Control
of
Diffusions
...........................................185
4.1
Brownian Motion
..........................................185
4.2
Stochastic Calculus
.........................................190
4.3
Stochastic Differential Equations
.............................193
4.4
Stochastic Control
..........................................207
4.5
Optimal Stopping
..........................................231
4.6
Controlling Diffusions with Jumps
............................239
4.7
Addendum
................................................245
4.8
Exercises
.................................................250
5
Appendix: Probability, Concepts, and Results
.....................255
5.1
Elementary Probability
......................................255
5.2
Conditional Probability
......................................258
5.3
Expectation
...............................................261
5.4
Uncountable Sample Space
..................................262
5.5
General Probability Distributions
.............................264
5.6
Abstract Measures
..........................................267
5.7
Intuition
..................................................271
5.8
General Conditional Expectation and Probability
................272
5.9
Stochastic Processes
........................................274
5.10
Exercises
.................................................275
Solutions
..........................................................277
References
.........................................................285
Index
.............................................................289
|
| adam_txt |
Contents
Preface
.
Vil
Stochastic
Control
over Discrete Time
. 1
1.1
Stochastic Dynamic Programming
. 1
.2
Infinite Horizon
. 9
.3
State and Control-Dependent Probabilities
. 13
.4
Stochastic Maximum Principle in Discrete Time
. 30
.5
Optimal Stopping
. 39
.6
Infinite Horizon
. 44
.7
Incomplete Observations
. 49
.8
Control with
Kalman
Filter
. 55
.9
Approximate Solution Methods in the Infinite Horizon Case
. 59
.10
Semi-Markov Decision Models
. 65
. 11
Exercises
. 69
2
The
ЩВ
Equation for Deterministic Control
. 83
2.1
The Control Problem and Solution Tools
. 83
2.2
Terminal Conditions
. 89
2.3
Infinite Horizon
.107
2.4
Free Terminal Time Problems, with Free Ends
.108
2.5
Exercises
.112
3
Piecewise Deterministic Optimal Control Problems
.115
3.1
Free End, Fixed Terminal Time Problems
.115
3.2
Extremal Method, Free End Case
.117
3.3
Precise Necessary Conditions and Sufficient Conditions
.126
3.4
Problems with Terminal Constraints
.133
3.5
The General End Constrained Case
.137
3.6
Optimal Stopping Problems
.156
3.7
A Selection of Proofs
.167
3.8
Exercises
.182
xii Contents
4
Control
of
Diffusions
.185
4.1
Brownian Motion
.185
4.2
Stochastic Calculus
.190
4.3
Stochastic Differential Equations
.193
4.4
Stochastic Control
.207
4.5
Optimal Stopping
.231
4.6
Controlling Diffusions with Jumps
.239
4.7
Addendum
.245
4.8
Exercises
.250
5
Appendix: Probability, Concepts, and Results
.255
5.1
Elementary Probability
.255
5.2
Conditional Probability
.258
5.3
Expectation
.261
5.4
Uncountable Sample Space
.262
5.5
General Probability Distributions
.264
5.6
Abstract Measures
.267
5.7
Intuition
.271
5.8
General Conditional Expectation and Probability
.272
5.9
Stochastic Processes
.274
5.10
Exercises
.275
Solutions
.277
References
.285
Index
.289 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-02T21:37:37Z |
| indexdate | 2024-07-09T21:19:43Z |
| institution | BVB |
| isbn | 9780387766171 9780387766164 0387766162 |
| language | English |
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| physical | XII, 291 S. 235 mm x 155 mm |
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| publisher | Springer |
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| spelling | Seierstad, Atle Verfasser aut Stochastic control in discrete and continuous time Atle Seierstad New York, NY Springer 2009 XII, 291 S. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Discrete-time systems Stochastic control theory Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Stochastische Kontrolltheorie (DE-588)4263657-7 s DE-604 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016662143&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Seierstad, Atle Stochastic control in discrete and continuous time Discrete-time systems Stochastic control theory Stochastische Kontrolltheorie (DE-588)4263657-7 gnd |
| subject_GND | (DE-588)4263657-7 |
| title | Stochastic control in discrete and continuous time |
| title_auth | Stochastic control in discrete and continuous time |
| title_exact_search | Stochastic control in discrete and continuous time |
| title_exact_search_txtP | Stochastic control in discrete and continuous time |
| title_full | Stochastic control in discrete and continuous time Atle Seierstad |
| title_fullStr | Stochastic control in discrete and continuous time Atle Seierstad |
| title_full_unstemmed | Stochastic control in discrete and continuous time Atle Seierstad |
| title_short | Stochastic control in discrete and continuous time |
| title_sort | stochastic control in discrete and continuous time |
| topic | Discrete-time systems Stochastic control theory Stochastische Kontrolltheorie (DE-588)4263657-7 gnd |
| topic_facet | Discrete-time systems Stochastic control theory Stochastische Kontrolltheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016662143&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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