Name: chance and decision. stochastic control in discrete time (en Inglés)
SKU: 3417713
Price: 54.46 USD
Availability: InStock
Author: zabczyk
ISBN: 9788876422423

portada chance and decision. stochastic control in discrete time (en Inglés)

chance and decision. stochastic control in discrete time (en Inglés)

Formato

Libro Físico

Editorial

Springer

Autor

zabczyk

Idioma

Inglés

ISBN

8876422420

ISBN13

9788876422423

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chance and decision. stochastic control in discrete time (en Inglés)

Zabczyk (Autor) · Springer · Libro Físico

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Reseña del libro "chance and decision. stochastic control in discrete time (en Inglés)"

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.