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Chance and decision. Stochastic control in discrete time (Paperback)
Loot Price: R525
Discovery Miles 5 250
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Chance and decision. Stochastic control in discrete time (Paperback)
Series: Publications of the Scuola Normale Superiore
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Loot Price R525
Discovery Miles 5 250
Expected to ship within 12 - 17 working days
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Mathematical theory of discrete time decision processes, also known
as stochastic control, is based on two major ideas: backward
induction and conditioning. It has a large number of applications
in almost all branches of the natural sciences. The aim of these
notes is to give a self-contained introduction to this theory and
its applications. Our intention was to give a global and
mathematically precise picture of the subject and present well
motivated examples. We cover systems with complete or partial
information as well as with complete or partial observation. We
have tried to present in a unified way several topics such as
dynamic programming equations, stopping problems, stabilization,
Kalman-Bucy filter, linear regulator, adaptive control and option
pricing. The notes discuss a large variety of models rather than
concentrate on general existence theorems.
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