Stochastic control in discrete and continuous time
This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete ti...
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | Livre numérique |
| اللغة: | Anglais |
| منشور في: |
Boston, MA :
Springer US
[20..].
Cham : Springer Nature |
| الموضوعات: | |
| الوصول للمادة أونلاين: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| ملاحظة: |
Description d'après consultation du 20 septembre 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic control in discrete and continuous time, Atle Seierstad, New York, Springer, 2009, 1 vol. (xii-291 p.), 978-0-387-76616-4 |
| الملخص: | This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete time and HJB-equations in continuous time. Topics covered include stochastic maximum principles for discrete time and continuous time, even for problems with terminal conditions. Numerous illustrative examples and exercises, with solutions at the end of the book, are included to enhance the understanding of the reader. By interlinking many fields in stochastic control, the material gives the student the opportunity to see the connections between different fields and the underlying ideas that unify them. This text will benefit students in applied mathematics, economics, engineering, and related fields. Prerequisites include a course in calculus and elementary probability theory. No knowledge of measure theory is assumed. |
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| وصف المادة: | Description d'après consultation du 20 septembre 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| بيبلوغرافيا: | Bibliogr. Index |
| ردمك: | 9780387766171 |
| وصول: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |