Chance and Decision: Stochastic Control in Discrete Time: Quaderni - Couverture souple

Zabczyk, Jerzy

 
9788876422423: Chance and Decision: Stochastic Control in Discrete Time: Quaderni
Couverture souple
ISBN 10 : 8876422420 ISBN 13 : 9788876422423
Editeur : Scuola Normale Superiore, 1996

Synopsis

Mathematical theory of discrete time decision processes, also known as stochastic control, is based on two major ideas: backward induction and conditioning. It has a large number of applications in almost all branches of the natural sciences. The aim of these notes is to give a self-contained introduction to this theory and its applications. Our intention was to give a global and mathematically precise picture of the subject and present well motivated examples. We cover systems with complete or partial information as well as with complete or partial observation. We have tried to present in a unified way several topics such as dynamic programming equations, stopping problems, stabilization, Kalman-Bucy filter, linear regulator, adaptive control and option pricing. The notes discuss a large variety of models rather than concentrate on general existence theorems.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Scuola Normale Superiore
Date d'édition
1996
Langue
anglais
ISBN 10 
8876422420
ISBN 13 
9788876422423
Reliure
Broché
Nombre de pages
185
Coordonnées du fabricant
non disponible
Personne responsable
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