{"product_id":"controlled-diffusion-processes-a-b-aries-9781461260530","title":"Controlled Diffusion Processes","description":"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 programming, developed by him somewhat earlier  4J. 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  8J, Mine and Osaki  55J, 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e N. V. Krylov\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1461260531\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781461260530\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 10\/12\/2011\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 308\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 1.00lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.21h x 6.14w x 0.68d","brand":"N. V. Krylov","offers":[{"title":"Paperback","offer_id":43936022724863,"sku":"9781461260530","price":169.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/products\/img_09af75bc-5dcd-41dc-a9d4-dacb21ebdd8f.jpg?v=1681423161","url":"https:\/\/www.whiterainbookhouse.com\/products\/controlled-diffusion-processes-a-b-aries-9781461260530","provider":"WR Book House","version":"1.0","type":"link"}