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Stochastic Control in Discrete and Continuous Time 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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Atle Seierstad 作者

Springer

译者

2008-11-11 出版日期

232 页数

USD 69.95 价格

Hardcover

丛书系列

9780387766164 图书编码

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Stochastic Control in Discrete and Continuous Time 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

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Stochastic Control in Discrete and Continuous Time 在线电子书 pdf 下载 txt下载 epub 下载 mobi 在线电子书下载

Stochastic Control in Discrete and Continuous Time 在线电子书图书描述

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 using few mathematical tools before proceeding to the stochastic continuous-time models requiring more advanced mathematics. Topics covered include stochastic maximum principles for discrete time, continuous time, and for problems with terminal conditions. A nonstandard treatment of piecewise deterministic problems, related to some control problems, is also presented. Numerous illustrative examples and exercises are included to enhance the understanding of the reader. By interlinking many fields in stochastic control, the material gives the student the opportunity to see the connections between different fields and the underlying ideas that unify them. This text will be of benefit to students in economics, engineering, applied mathematics and related fields. Prerequisites include a course in calculus and elementary probability theory.

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