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Stochastic control in discrete and continuous time. (English) Zbl 1154.93001
New York, NY: Springer (ISBN 978-0-387-76616-4/hbk). xii, 291 p. (2009).
This is a comprehensive introductory text on stochastic control. Beginning with discrete time controlled Markov and semi-Markov processes and deterministic control as a backdrop, it develops control of piecewise deterministic processes, diffusions and jump diffusions. Thus most important strands in stochastic control are introduced and the issues of optimality and its characterization via the Hamilton-Jacobi-Bellman equation and stochastic maximum principle are addressed. The treatment is at the level of a first course, with several examples and exercises.

MSC:
93-02 Research exposition (monographs, survey articles) pertaining to systems and control theory
93E20 Optimal stochastic control
60K99 Special processes
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