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Stochastic control by functional analysis methods
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| Main Author: | |
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| Corporate Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Amsterdam ; New York : New York :
North-Holland Pub. Co. ; Sole distributors for the U.S.A. and Canada, Elsevier North-Holland,
1982.
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| Series: | Studies in mathematics and its applications ;
v. 11. |
| Physical Description: |
1 online resource (xv, 410 pages). |
| Subjects: | |
| Online Access: | Elsevier - Click here for access |
Contents:
- Front Cover; Stochastic Control by Functional Analysis Methods; Copyright Page; Contents; CHAPTER I. STOCHASTIC CALCULUS AND STOCHASTIC DIFFERENTIAL EQUATIONS; CHAPTER II. PARTIAL DIFFERENTIAL EQUATIONS; CHAPTER III. MARTINGALE PROBLEM; CHAPTER IV. STOCHASTIC CONTROL WITH COMPLETE INFORMATION; CHAPTER V. FILTERING AND PREDICTION FOR LINEAR S.D.E.; CHAPTER VI. VARIATIONAL METHODS IN STOCHASTIC CONTROL; CHAPTER VII. PROBLEMS OF OPTIMAL STOPPING; CHAPTER VIII. IMPULSIVE CONTROL.