Stochastic Control in Discrete and Continuous Time / Edition 1

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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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Editorial Reviews

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"This book provides a comprehensive introduction to stochastic control. … The treatment is at the level of a first course, with several examples and exercises. The book can be used by undergraduate students, but also by graduate students, engineers and others who study control, systems and related areas or want to extend their knowledge in these topics." (Krzysztof Szajowski, Mathematical Reviews, Issue 2009 j)

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Product Details

  • ISBN-13: 9781441945693
  • Publisher: Springer US
  • Publication date: 2/28/2014
  • Edition description: Softcover reprint of hardcover 1st ed. 2009
  • Edition number: 1
  • Pages: 222
  • Product dimensions: 6.14 (w) x 9.21 (h) x 0.64 (d)

Table of Contents

Stochastic Control over Discrete Time.- The HJB Equation for Deterministic Control.- Piecewise Deterministic Optimal Control Problems.- Control of Diffusions.- Appendix: Probability, Concepts, and Results.
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