This book is a comprehensive introduction to stochastic control problems in both discrete and continuous time. Specifically, the book covers stochastic dynamic programming and the optimal stopping problem for discrete time with a finite or infinite horizon. It also covers continuous time stochastic control of piecewise deterministic processes and of diffusions, including optimal stopping problems. The material is presented logically, beginning with the discrete-time case using few mathematical tools, and ending with stochastic continuous-time models requiring more advanced mathematics. Students will find the numerous illustrative examples and exercises useful for understanding the material. This text will be of benefit to students in economics, engineering, finance, business administration, mathematics and related fields. Prerequisites are courses in calculus and elementary probability. Offers broad coverage of three types of stochastic control problems at an elementary level Includes numerous illustrative examples and exercises INDICE: Preface.- Stochastic Control over Discrete Time.- The HJB Equationfor Deterministic Control.- Piecewise Deterministic Optimal Control Problems.- Control of Diffusions.- Appendix: Probability, Concepts, and Results.- Solutions.- References.- Index.
- ISBN: 978-0-387-76616-4
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 230
- Fecha Publicación: 01/07/2008
- Nº Volúmenes: 1
- Idioma: Inglés