Description: Chance and Decision : Stochastic Control in Discrete Time: Quaderni, Paperback by Zabczyk, J., ISBN 8876422420, ISBN-13 9788876422423, Like New Used, Free shipping in the US Mathematical theory of discrete time decision processes, also known as stochastic control, is based on two major ideas: backward induction and conditioning. It has a large number of applications in almost all branches of the natural sciences. The aim of these notes is to give a self-contained introduction to this theory and its applications. Our intention was to give a global and mathematically precise picture of the subject and present well motivated examples. We cover systems with complete or partial information as well as with complete or partial observation. We have tried to present in a unified way several topics such as dynamic programming equations, stopping problems, stabilization, Kalman-Bucy filter, linear regulator, adaptive control and option pricing. The notes discuss a large variety of models rather than concentrate on general existence theorems.
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Book Title: Chance and Decision : Stochastic Control in Discrete Time: Quader
Number of Pages: 185 Pages
Publication Name: Chance and Decision. Stochastic Control in Discrete Time
Language: English
Publisher: Scuola Normale Superiore
Subject: Optimization
Publication Year: 1996
Type: Textbook
Item Length: 9.4 in
Subject Area: Mathematics
Author: Jerzy Zabczyk
Item Width: 6.7 in
Series: Publications of the Scuola Normale Superiore Ser.
Format: Trade Paperback
