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Language: en
Pages: 459
Pages: 459
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic
Language: en
Pages: 263
Pages: 263
Type: BOOK - Published: 2014-11-27 - Publisher: Springer
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze c
Language: en
Pages: 219
Pages: 219
Type: BOOK - Published: 2012-09-25 - Publisher: Springer Science & Business Media
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic contro
Language: en
Pages: 299
Pages: 299
Type: BOOK - Published: 2008-11-11 - Publisher: Springer Science & Business Media
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1),
Language: en
Pages: 243
Pages: 243
Type: BOOK - Published: 2009-05-28 - Publisher: Springer Science & Business Media
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand,
