Stochastic Control In Discrete And Continuous Time

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Stochastic Control In Discrete And Continuous Time
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i.e., stochastic dynamic programming, piecewise deterministic control problems, and control of Ito diffusions. The chapters include treatments of optimal stopping problems. An Appendix recalls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory.

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关键词：Stochastic Continuous Stochast Discrete control

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