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Controlled diffusion processes
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 dimensio...
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| Lenguaje: | eng |
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Springer
1980
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-540-70914-5 http://cds.cern.ch/record/2023597 |