Description
This book covers the optimal control of solutions of fully observable Ito-type stochastic differential equations. It proves the validity of the Bellman differential equation for payoff functions and develops rules for optimal control strategies.
Book Details
Format
Paperback
Pages
322 pages
Language
English
Published
Oct 15, 2008
Publisher
Springer
ISBN-10
3540709134
ISBN-13
9783540709138