Stochastic Control Theory
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a...
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| Ngôn ngữ: | English |
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Springer
2015
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| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58438 |
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oai:scholar.dlu.edu.vn:DLU123456789-584382023-11-11T06:10:09Z Stochastic Control Theory Nisio, Makiko Stochastic control theory Prédiction Filtrage This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. 2015-09-22T09:54:19Z 2015-09-22T09:54:19Z 2015 Book 978-4-431-55123-2 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58438 en application/pdf Springer |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
Stochastic control theory Prédiction Filtrage |
| spellingShingle |
Stochastic control theory Prédiction Filtrage Nisio, Makiko Stochastic Control Theory |
| description |
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems.
First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. |
| format |
Book |
| author |
Nisio, Makiko |
| author_facet |
Nisio, Makiko |
| author_sort |
Nisio, Makiko |
| title |
Stochastic Control Theory |
| title_short |
Stochastic Control Theory |
| title_full |
Stochastic Control Theory |
| title_fullStr |
Stochastic Control Theory |
| title_full_unstemmed |
Stochastic Control Theory |
| title_sort |
stochastic control theory |
| publisher |
Springer |
| publishDate |
2015 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58438 |
| _version_ |
1782547071403819008 |