Controlled diffusion processes
A.V. Balakrishnan, N.V. Krylov, 著AriesA.B., 著ほか
This book covers the optimal control of solutions of fully observable Ito-type stochastic differential equations. It proves the validity of the Bellman differential equation for payoff functions and develops rules for optimal control strategies.
- 出版社
- Springer-Verlag
- 発売日
- 1980-01-01
- ISBN
- 9780387904610