On a Stochastic Control Problem with Terminal State Constraints
Wersja papierowa
Autor:
Chiyaka Edward Tafumaneyi
Wydawnictwo:
OmniScriptum GmbH & Co. KGISBN: 978-36-593-5814-2
Format: 15.2x22.9cm
Liczba stron: 60
Oprawa: Miękka
Wydanie: 2013 r.
Język: angielski
Dostępność: dostępny
299,50 zł
284,50 zł
In this book, dynamical systems subject to some random perturbations which can be controlled are studied in order to optimize some performance criteria. A stochastic control problem in both finite and infinite time interval with terminal state constraint is formulated. The formulated stochastic control problem is solved using the dynamic programming principle for continuous Markov processes and also the maximum principle using the Hamilton-Jacobi-Bellman (HJB) equations.