Controlled Diffusion Processes:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer New York
1980
|
| Schriftenreihe: | Stochastic Modelling and Applied Probability
14 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed. Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9783540709145 9783540709138 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-3-540-70914-5 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804153096837791744 |
|---|---|
| any_adam_object | |
| author | Krylov, Nicolai V. |
| author_facet | Krylov, Nicolai V. |
| author_role | aut |
| author_sort | Krylov, Nicolai V. |
| author_variant | n v k nv nvk |
| building | Verbundindex |
| bvnumber | BV042422405 |
| classification_tum | MAT 000 |
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| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2 |
| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-540-70914-5 |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:11Z |
| institution | BVB |
| isbn | 9783540709145 9783540709138 |
| issn | 0172-4568 |
| language | English |
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| publishDate | 1980 |
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| publisher | Springer New York |
| record_format | marc |
| series2 | Stochastic Modelling and Applied Probability |
| spelling | Krylov, Nicolai V. Verfasser aut Controlled Diffusion Processes by Nicolai V. Krylov New York, NY Springer New York 1980 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Stochastic Modelling and Applied Probability 14 0172-4568 This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed. Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastische optimale Kontrolle (DE-588)4207850-7 gnd rswk-swf Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Kontrolltheorie (DE-588)4032317-1 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 s Stochastische Differentialgleichung (DE-588)4057621-8 s Stochastische optimale Kontrolle (DE-588)4207850-7 s 1\p DE-604 Kontrolltheorie (DE-588)4032317-1 s 2\p DE-604 Stochastische Kontrolltheorie (DE-588)4263657-7 s 3\p DE-604 https://doi.org/10.1007/978-3-540-70914-5 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Krylov, Nicolai V. Controlled Diffusion Processes Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Diffusionsprozess (DE-588)4274463-5 gnd Kontrolltheorie (DE-588)4032317-1 gnd |
| subject_GND | (DE-588)4207850-7 (DE-588)4263657-7 (DE-588)4057621-8 (DE-588)4274463-5 (DE-588)4032317-1 |
| title | Controlled Diffusion Processes |
| title_auth | Controlled Diffusion Processes |
| title_exact_search | Controlled Diffusion Processes |
| title_full | Controlled Diffusion Processes by Nicolai V. Krylov |
| title_fullStr | Controlled Diffusion Processes by Nicolai V. Krylov |
| title_full_unstemmed | Controlled Diffusion Processes by Nicolai V. Krylov |
| title_short | Controlled Diffusion Processes |
| title_sort | controlled diffusion processes |
| topic | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Diffusionsprozess (DE-588)4274463-5 gnd Kontrolltheorie (DE-588)4032317-1 gnd |
| topic_facet | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastische optimale Kontrolle Stochastische Kontrolltheorie Stochastische Differentialgleichung Diffusionsprozess Kontrolltheorie |
| url | https://doi.org/10.1007/978-3-540-70914-5 |
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