| 书目名称 | Stochastic Control Theory | | 副标题 | Dynamic Programming | | 编辑 | Makiko Nisio | | 视频video | | | 概述 | Deals with a quick review of stochastic analysis and stochastic differential equations with random coefficients.Deals with viscosity solutions of nonlinear parabolic equation.Shows the connection betw | | 丛书名称 | Probability Theory and Stochastic Modelling | | 图书封面 |  | | 描述 | .This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems..First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem..Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-max principle, to be precise). Using semi-discretization arguments, we construct the nonlinear semigroups whose generators provide lower and upper Isaacs equations..Concerning parti | | 出版日期 | Book 2015Latest edition | | 关键词 | dynamic programming principle; nonlinear semigroup; stochastic differential game; stochastic optimal co | | 版次 | 2 | | doi | https://doi.org/10.1007/978-4-431-55123-2 | | isbn_softcover | 978-4-431-56408-9 | | isbn_ebook | 978-4-431-55123-2Series ISSN 2199-3130 Series E-ISSN 2199-3149 | | issn_series | 2199-3130 | | copyright | Springer Japan 2015 |
The information of publication is updating
|
|
发表于 2025-3-21 16:17:29
