All listings for this product
About this product
- DescriptionStochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsav [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4J. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we te in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8J, Mine and Osaki [55J, and Dynkin and Yushkevich . Ather class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random ise. The case where the system is described by a differential equation and the ise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.
- Author(s)N. V. Krylov
- PublisherSpringer-Verlag New York Inc.
- Date of Publication12/10/2011
- Series TitleStochastic Modelling and Applied Probability
- Series Part/Volume Number14
- Place of PublicationNew York, NY
- Country of PublicationUnited States
- ImprintSpringer-Verlag New York Inc.
- Content Notebiography
- Weight498 g
- Width155 mm
- Height235 mm
- Spine17 mm
- Translated byA. B. Aries
- Edition StatementSoftcover reprint of the original 1st ed. 1980
Best-selling in Non-Fiction Books
Save on Non-Fiction Books
- AU $57.99Trending at AU $62.11
- AU $34.68Trending at AU $36.61
- AU $73.14Trending at AU $74.82
- AU $18.13Trending at AU $23.76
- AU $37.59Trending at AU $40.09
- AU $34.37Trending at AU $36.09
- AU $28.53Trending at AU $29.80
This item doesn't belong on this page.
Thanks, we'll look into this.