| 书目名称 | Stochastic Control in Discrete and Continuous Time | | 编辑 | Atle Seierstad | | 视频video | http://file.papertrans.cn/878/877887/877887.mp4 | | 概述 | Offers broad coverage of three types of stochastic control problems at an elementary level.Includes numerous illustrative examples and exercises.Can be used in a classroom setting or for self-study | | 图书封面 |  | | 描述 | 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 seemingl | | 出版日期 | Textbook 2009 | | 关键词 | Probability theory; calculus; optimal control; optimal stopping problem; programming; stochastic dynamic | | 版次 | 1 | | doi | https://doi.org/10.1007/978-0-387-76617-1 | | isbn_softcover | 978-1-4419-4569-3 | | isbn_ebook | 978-0-387-76617-1 | | copyright | Springer-Verlag US 2009 |
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