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Stochastic Control Proceedings of the Second Ifac Symposium, Vilnius, Lithuanian Ssr, USSR 19-23 May 1986 (I F a C Symposia Series) by N. K. Sinha

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Published by Pergamon .
Written in English


  • Stochastics,
  • Stochastic control theory,
  • Control Theory,
  • Stochastic Processes,
  • Technology & Industrial Arts,
  • Science/Mathematics,
  • Robotics,
  • Congresses

Book details:

Edition Notes

ContributionsL. A. Telksnys (Editor)
The Physical Object
Number of Pages517
ID Numbers
Open LibraryOL9266330M
ISBN 100080334520
ISBN 109780080334523

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Stochastic Optimal Control (SOC)―a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty―has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk by:   The book talks about the macroeconomic model and is founded by the use of stopping methods and the Bellmann-Hamilton equation. The last equation is important because the sthocastic theory is related to traditional analysis. The use of integral calculus allows to minimize the by: described through an ordinary or a stochastic differential equation. Dy-namics given by partial differential equations yield infinite dimensional problems and we will not consider those in these lecture notes. † Control process ”(¢). We need to describe the control set, U, in which ”(t) takes values in for every t. Applications. stochastic control and optimal stopping problems. The remaining part of the lectures focus on the more recent literature on stochastic control, namely stochastic target problems. These problems are moti-vated by the superhedging problem in nancial mathematics. Various extensions have been studied in .

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