| 書(shū)目名稱(chēng) | Controlled Diffusion Processes | | 編輯 | Nicolai V. Krylov | | 視頻video | http://file.papertrans.cn/238/237460/237460.mp4 | | 概述 | Includes supplementary material: | | 叢書(shū)名稱(chēng) | Stochastic Modelling and Applied Probability | | 圖書(shū)封面 |  | | 描述 | Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman‘s technique of dynamic programming, developed by him somewhat earlier [4]. 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 note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another 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 noise. The case where the system is described by a differential equation | | 出版日期 | Book 1980 | | 關(guān)鍵詞 | diffusion; diffusion process; diffusion process (statistic); fully nonlinear equations; linear optimizat | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-540-70914-5 | | isbn_softcover | 978-3-540-70913-8 | | isbn_ebook | 978-3-540-70914-5Series ISSN 0172-4568 Series E-ISSN 2197-439X | | issn_series | 0172-4568 | | copyright | Springer-Verlag Berlin Heidelberg 1980 |
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