Stochastic Control in Discrete and Continuous Time

Authors: Seierstad, Atle

  • Offers broad coverage of three types of stochastic control problems at an elementary level
  • Includes numerous illustrative examples and exercises
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eBook $54.99
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  • ISBN 978-0-387-76617-1
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  • Immediate eBook download after purchase
Hardcover $69.95
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  • ISBN 978-0-387-76616-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $69.95
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  • ISBN 978-1-4419-4569-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete time and HJB-equations in continuous time. Topics covered include stochastic maximum principles for discrete time and continuous time, even for problems with terminal conditions. Numerous illustrative examples and exercises, with solutions at the end of the book, are included to enhance the understanding of the reader. By interlinking many fields in stochastic control, the material gives the student the opportunity to see the connections between different fields and the underlying ideas that unify them.

This text will benefit students in applied mathematics, economics, engineering, and related fields. Prerequisites include a course in calculus and elementary probability theory. No knowledge of measure theory is assumed.

Reviews

From the reviews:

"This book provides a comprehensive introduction to stochastic control. … The treatment is at the level of a first course, with several examples and exercises. The book can be used by undergraduate students, but also by graduate students, engineers and others who study control, systems and related areas or want to extend their knowledge in these topics." (Krzysztof Szajowski, Mathematical Reviews, Issue 2009 j)


Table of contents (5 chapters)

  • Stochastic Control over Discrete Time

    Seierstad, Atle

    Pages 1-82

  • Control of Diffusions

    Seierstad, Atle

    Pages 1-70

  • Piecewise Deterministic Optimal Control Problems

    Seierstad, Atle

    Pages 1-70

  • Appendix: Probability, Concepts, and Results

    Seierstad, Atle

    Pages 1-22

  • The HJB Equation for Deterministic Control

    Seierstad, Atle

    Pages 1-31

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-0-387-76617-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $69.95
price for USA
  • ISBN 978-0-387-76616-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $69.95
price for USA
  • ISBN 978-1-4419-4569-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Control in Discrete and Continuous Time
Authors
Copyright
2009
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-0-387-76617-1
DOI
10.1007/978-0-387-76617-1
Hardcover ISBN
978-0-387-76616-4
Softcover ISBN
978-1-4419-4569-3
Edition Number
1
Number of Pages
X, 222
Topics