Stochastic Control in Discrete and Continuous Time

• Main Author: Seierstad, Atle. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Boston, MA : Springer US, 2009.
• Subjects: Mathematics.; Systems theory.; Mathematical optimization.; Distribution (Probability theory).; Economics, Mathematical.; Probability Theory and Stochastic Processes.; Game Theory/Mathematical Methods.; Calculus of Variations and Optimal Control; Optimization.; Systems Theory, Control.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-0-387-76617-1

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...

Table of Contents:

• Preface
• Stochastic Control over Discrete Time
• The HJB Equation for Deterministic Control
• Piecewise Deterministic Optimal Control Problems
• Control of Diffusions
• Appendix: Probability, Concepts, and Results
• Solutions
• References
• Index.