Stochastic Control in Discrete and Continuous Time / Edition 1

Stochastic Control in Discrete and Continuous Time / Edition 1

by Atle Seierstad
     
 

ISBN-10: 1441945695

ISBN-13: 9781441945693

Pub. Date: 02/28/2014

Publisher: Springer US

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 before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete time and HJB-equations in continuous time. Topics covered include…  See more details below

Overview

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 before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete time and HJB-equations in continuous time. Topics covered include stochastic maximum principles for discrete time and continuous time, even for problems with terminal conditions. Numerous illustrative examples and exercises, with solutions at the end of the book, 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.

Product Details

ISBN-13:
9781441945693
Publisher:
Springer US
Publication date:
02/28/2014
Edition description:
Softcover reprint of hardcover 1st ed. 2009
Pages:
222
Product dimensions:
6.10(w) x 9.25(h) x 0.03(d)

Table of Contents


1 Stochastic Control over Discrete Time 1
2 The HJB Equation for Deterministic Control 83
3 Piecewise Deterministic Optimal Control Problems 115
4 Control of Diffusions 185
5 Appendix: Probability, Concepts, and Results 255 Solutions 277 References 285 Index 289

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