Stochastic Control in Discrete and Continuous Time

• Main Author: Seierstad, Atle (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US, 2009.
• Subjects: Mathematics.; System theory.; Calculus of variations.; Probabilities.; Economic theory.; Probability Theory and Stochastic Processes.; Economic Theory/Quantitative Economics/Mathematical Methods.; Calculus of Variations and Optimal Control; Optimization.; Systems Theory, Control.

This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete ti...

Table of Contents:

• Stochastic Control over Discrete Time
• The HJB Equation for Deterministic Control
• Piecewise Deterministic Optimal Control Problems
• Control of Diffusions
• Appendix: Probability, Concepts, and Results.