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.
Les mer
Produktdetaljer
ISBN
9780387766171
Publisert
2020
Utgiver
Vendor
Springer
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter