Stochastic Control Theory Dynamic Programming Principle /

• Main Author: Nisio, Makiko (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Tokyo : Springer Japan : Imprint: Springer, 2015.
• Edition: 2nd ed. 2015.
• Series: Probability Theory and Stochastic Modelling, 72
• Subjects: Mathematics.; Functional analysis.; Partial differential equations.; Probabilities.; Probability Theory and Stochastic Processes.; Functional Analysis.; Partial Differential Equations.

This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a n...