Controlled Diffusion Processes

by Nikola Vladimirovich Krylov

Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsanov [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic...

• Format: Hardcover
• Language: English
• ISBN: 0387904611
• ISBN13: 9780387904610
• Release Date: November 1980
• Publisher: Springer
• Length: 308 Pages
• Weight: 1.39 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"