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...
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| Hlavní autor: | |
|---|---|
| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Boston, MA :
Springer US
[20..].
Cham : Springer Nature |
| Témata: | |
| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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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 |
Obsah:
- Stochastic Control over Discrete Time The HJB Equation for Deterministic Control Piecewise Deterministic Optimal Control Problems Control of Diffusions Appendix: Probability, Concepts, and Results.