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Stochastic Control in Discrete and Continuous Time (Paperback, 2009)
Loot Price: R1,542
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Stochastic Control in Discrete and Continuous Time (Paperback, 2009)
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This book contains an introduction to three topics in stochastic
control: discrete time stochastic control, i. e. , stochastic
dynamic programming (Chapter 1), piecewise - terministic control
problems (Chapter 3), and control of Ito diffusions (Chapter 4).
The chapters include treatments of optimal stopping problems. An
Appendix - calls material from elementary probability theory and
gives heuristic explanations of certain more advanced tools in
probability theory. The book will hopefully be of interest to
students in several ?elds: economics, engineering, operations
research, ?nance, business, mathematics. In economics and business
administration, graduate students should readily be able to read
it, and the mathematical level can be suitable for advanced
undergraduates in mathem- ics and science. The prerequisites for
reading the book are only a calculus course and a course in
elementary probability. (Certain technical comments may demand a
slightly better background. ) As this book perhaps (and hopefully)
will be read by readers with widely diff- ing backgrounds, some
general advice may be useful: Don't be put off if paragraphs,
comments, or remarks contain material of a seemingly more technical
nature that you don't understand. Just skip such material and
continue reading, it will surely not be needed in order to
understand the main ideas and results. The presentation avoids the
use of measure theory.
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