Controlled Diffusion Processes
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsanov [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4J. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with…
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Produktdetails
Weitere Autoren: Aries, A. B. (Übers.)
- ISBN: 978-1-4612-6053-0
- EAN: 9781461260530
- Produktnummer: 15466757
- Verlag: Springer New York
- Sprache: Englisch
- Erscheinungsjahr: 2011
- Seitenangabe: 324 S.
- Masse: H23.5 cm x B15.5 cm x D1.7 cm 493 g
- Auflage: Softcover reprint of the original 1st ed. 1980
- Abbildungen: Paperback
- Gewicht: 493
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