Buy new:
$49.25
List Price: $109.99

The List Price is the suggested retail price of a new product as provided by a manufacturer, supplier, or seller. Except for books, Amazon will display a List Price if the product was purchased by customers on Amazon or offered by other retailers at or above the List Price in at least the past 90 days. List prices may not necessarily reflect the product's prevailing market price.
Learn more
Save: $60.74 (55%)
FREE delivery May 3 - 7. Details
Only 3 left in stock - order soon.
$$49.25 () Includes selected options. Includes initial monthly payment and selected options. Details
Price
Subtotal
$$49.25
Subtotal
Initial payment breakdown
Shipping cost, delivery date, and order total (including tax) shown at checkout.
Ships from
Basi6 International
Ships from
Basi6 International
Returns
Eligible for Return, Refund or Replacement within 30 days of receipt
Eligible for Return, Refund or Replacement within 30 days of receipt
This item can be returned in its original condition for a full refund or replacement within 30 days of receipt. You may receive a partial or no refund on used, damaged or materially different returns.
Read full return policy
Returns
Eligible for Return, Refund or Replacement within 30 days of receipt
This item can be returned in its original condition for a full refund or replacement within 30 days of receipt. You may receive a partial or no refund on used, damaged or materially different returns.
Read full return policy
Payment
Secure transaction
Your transaction is secure
We work hard to protect your security and privacy. Our payment security system encrypts your information during transmission. We don’t share your credit card details with third-party sellers, and we don’t sell your information to others. Learn more
Payment
Secure transaction
We work hard to protect your security and privacy. Our payment security system encrypts your information during transmission. We don’t share your credit card details with third-party sellers, and we don’t sell your information to others. Learn more
Amazon book clubs early access
Loading your book clubs
There was a problem loading your book clubs. Please try again.
Not in a club? Learn more
Amazon book clubs early access

Join or create book clubs

Choose books together

Track your books
Bring your club to Amazon Book Clubs, start a new book club and invite your friends to join, or find a club that’s right for you for free.
Explore Amazon Book Clubs
Kindle app logo image

Download the free Kindle app and start reading Kindle books instantly on your smartphone, tablet, or computer - no Kindle device required.

Read instantly on your browser with Kindle for Web.

Using your mobile phone camera - scan the code below and download the Kindle app.

QR code to download the Kindle App

Follow the author

N. V. Krylov
Follow
Something went wrong. Please try your request again later.

Controlled Diffusion Processes (Stochastic Modelling and Applied Probability, 14) 1980th Edition

by Nikolai Vladimirovich Krylov (Author), A.B. Aries (Translator)
5.0 5.0 out of 5 stars 2 ratings
See all formats and editions
{"desktop_buybox_group_1":[{"displayPrice":"$49.25","priceAmount":49.25,"currencySymbol":"$","integerValue":"49","decimalSeparator":".","fractionalValue":"25","symbolPosition":"left","hasSpace":false,"showFractionalPartIfEmpty":true,"offerListingId":"kdT6XyaW9zWa0UlRpIhBXMv%2B7vGkRuDr6Qngz%2FOzx5OeemHVF%2Fz1z7%2Bl%2F7jidz6hfQKsR%2BaEAvIsZYqHeT41nfS%2F6NWSTooSKS3SzVog8dUiNxt7%2BZ9DtNQPw7FLRIkrxJ0OseaTXXLAmB%2FDtASRqDCPQV0D7v4K8e3cl0ZNEdIQHd92zWroCJnMhv2wsB48","locale":"en-US","buyingOptionType":"NEW","aapiBuyingOptionIndex":0}]}

Purchase options and add-ons

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.
Previous page
  1. ISBN-10
    3540709134
  2. ISBN-13
    978-3540709138
  3. Edition
    1980th
  4. Publisher
    Springer
  5. Publication date
    October 15, 2008
  6. Language
    English
  7. Dimensions
    6.1 x 0.73 x 9.25 inches
  8. Print length
    322 pages
  9. See all details
Next page
Amazon First Reads | Editors' picks at exclusive prices

Editorial Reviews

Review

From the reviews:

“The book treats a large class of fully nonlinear parabolic PDEs via probabilistic methods. … The monograph may be strongly recommended as an excellent reading to PhD students, postdocs et al working in the area of controlled stochastic processes and/or nonlinear partial differential equations of the second order. … recommended to a wider audience of all students specializing in stochastic analysis or stochastic finance starting from MSc level.” (Alexander Yu Veretennikov, Zentralblatt MATH, Vol. 1171, 2009)

From the Back Cover

This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed.

Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.

Product details

  • Publisher ‏ : ‎ Springer; 1980th edition (October 15, 2008)
  • Language ‏ : ‎ English
  • Paperback ‏ : ‎ 322 pages
  • ISBN-10 ‏ : ‎ 3540709134
  • ISBN-13 ‏ : ‎ 978-3540709138
  • Item Weight ‏ : ‎ 2.31 pounds
  • Dimensions ‏ : ‎ 6.1 x 0.73 x 9.25 inches
  • Customer Reviews:
    5.0 5.0 out of 5 stars 2 ratings

About the author

Follow authors to get new release updates, plus improved recommendations.
N. V. Krylov

N. V. Krylov

Brief content visible, double tap to read full content.
Full content visible, double tap to read brief content.

Discover more of the author’s books, see similar authors, read author blogs and more

Customer reviews

5 out of 5 stars
5 out of 5
2 global ratings

Top reviews from the United States

There are 0 reviews and 0 ratings from the United States

Top reviews from other countries

Amazon Customer
5.0 out of 5 stars Five Stars
Reviewed in the United Kingdom on February 28, 2016
Verified Purchase
Super
Report