Stochastic Modelling and Applied Probability

Controlled Diffusion Processes

Authors: Krylov, N. V.

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About this book

This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed.

Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.

Reviews

From the reviews:

“The book treats a large class of fully nonlinear parabolic PDEs via probabilistic methods. … The monograph may be strongly recommended as an excellent reading to PhD students, postdocs et al working in the area of controlled stochastic processes and/or nonlinear partial differential equations of the second order. … recommended to a wider audience of all students specializing in stochastic analysis or stochastic finance starting from MSc level.” (Alexander Yu Veretennikov, Zentralblatt MATH, Vol. 1171, 2009)

Table of contents (6 chapters)

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-540-70914-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-540-70913-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Controlled Diffusion Processes
Authors
Translated by
Aries, A.B.
Series Title
Stochastic Modelling and Applied Probability
Series Volume
14
Copyright
1980
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-70914-5
DOI
10.1007/978-3-540-70914-5
Softcover ISBN
978-3-540-70913-8
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XII, 310
Additional Information
Original Russian edition published by Nauka, Moscow, 1977
Topics