This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed. Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and theBellman principle, equation, and normalized equation.
- ISBN: 978-3-540-70913-8
- Editorial: Springer
- Encuadernacion: Rústica
- Páginas: 320
- Fecha Publicación: 01/10/2008
- Nº Volúmenes: 1
- Idioma: Inglés