| Chance and Decision. Stochastic Control in Discrete Time 1996 Edition Contributor(s): Zabczyk, Jerzy (Author) |
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ISBN: 8876422420 ISBN-13: 9788876422423 Publisher: Edizioni Della Normale OUR PRICE: $28.45 Product Type: Paperback Published: October 1996 |
| Additional Information |
| BISAC Categories: - Mathematics | Linear & Nonlinear Programming - Mathematics | Calculus - Mathematics | Optimization |
| Dewey: 515.64 |
| Series: Publications of the Scuola Normale Superiore (Psns) |
| Physical Information: 0.49" H x 6.58" W x 9.5" (0.91 lbs) 185 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |