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Author : Hang Zhu
Release : 1992
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Dynamic Programming and Variational Inequalities in Singular Stochastic Control by : Hang Zhu
Download or read book Dynamic Programming and Variational Inequalities in Singular Stochastic Control written by Hang Zhu. This book was released on 1992. Available in PDF, EPUB and Kindle. Book excerpt:
Author : A. Bensoussan
Release : 2011-08-18
Genre : Mathematics
Kind : eBook
Book Rating : 335/5 ( reviews)
Book Synopsis Applications of Variational Inequalities in Stochastic Control by : A. Bensoussan
Download or read book Applications of Variational Inequalities in Stochastic Control written by A. Bensoussan. This book was released on 2011-08-18. Available in PDF, EPUB and Kindle. Book excerpt: Applications of Variational Inequalities in Stochastic Control
Author : Bernt Øksendal
Release : 2009-09-02
Genre : Mathematics
Kind : eBook
Book Rating : 861/5 ( reviews)
Book Synopsis Applied Stochastic Control of Jump Diffusions by : Bernt Øksendal
Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal. This book was released on 2009-09-02. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author : Giorgio Fabbri
Release : 2017-06-22
Genre : Mathematics
Kind : eBook
Book Rating : 674/5 ( reviews)
Book Synopsis Stochastic Optimal Control in Infinite Dimension by : Giorgio Fabbri
Download or read book Stochastic Optimal Control in Infinite Dimension written by Giorgio Fabbri. This book was released on 2017-06-22. Available in PDF, EPUB and Kindle. Book excerpt: Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.
Author : Atle Seierstad
Release : 2008-11-11
Genre : Mathematics
Kind : eBook
Book Rating : 162/5 ( reviews)
Book Synopsis Stochastic Control in Discrete and Continuous Time by : Atle Seierstad
Download or read book Stochastic Control in Discrete and Continuous Time written by Atle Seierstad. This book was released on 2008-11-11. Available in PDF, EPUB and Kindle. Book excerpt: This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.
