CONTROLLED DIFFUSION PROCESSES by N. V. Krylov, A. B. Aries (Trans) ( 9781461260530 )

Item Details

Title:

CONTROLLED DIFFUSION PROCESSES

By:

Format:

Paperback

List price:	£69.99
We currently do not stock this item, please contact the publisher directly for further information.

ISBN 10:

1461260531

ISBN 13:

9781461260530

Publisher:

SPRINGER-VERLAG NEW YORK INC.

Pub. date:

12 October, 2011

Edition:

Softcover reprint of the original 1st ed. 1980

Series:

Stochastic Modelling and Applied Probability 14

Pages:

308

Description:

Stochastic control theory is a relatively young branch of mathematics. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise.

Synopsis:

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 multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8J, Mine and Osaki [55J, and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.

Illustrations:

XII, 308 p.

Publication:

Imprint:

Springer-Verlag New York Inc.

Returns:

Returnable

Some other items by this author:

CONTROLLED DIFFUSION PROCESSES (HB)

CONTROLLED DIFFUSION PROCESSES (PB)

FILTERING AND PREDICTION (PB)

GAUSSIAN RANDOM PROCESSES (HB)