Controlled Diffusion Processes is popular PDF and ePub book, written by N. V. Krylov in 2008-09-26, it is a fantastic choice for those who relish reading online the Science genre. Let's immerse ourselves in this engaging Science book by exploring the summary and details provided below. Remember, Controlled Diffusion Processes can be Read Online from any device for your convenience.
Controlled Diffusion Processes Book PDF Summary
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.
Detail Book of Controlled Diffusion Processes PDF
- Author : N. V. Krylov
- Release : 26 September 2008
- Publisher : Springer Science & Business Media
- ISBN : 9783540709145
- Genre : Science
- Total Page : 314 pages
- Language : English
- PDF File Size : 19,9 Mb
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