Stochastic Control by Functional Analysis Methods

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Author(s): Alain Bensoussan (Eds.)
Series: Studies in Mathematics and Its Applications 11
Publisher: Elsevier Science Ltd
Year: 1982

Language: English
Pages: ii-ix, 1-410

Content:
Edited by
Pages ii-iii

Copyright page
Page iv

Introduction
Pages v-vii

Acknowledgments
Page ix

Chapter I Stochastic Calculus and Stochastic Differential Equations
Pages 1-50

Chapter II Partial Differential Equations
Pages 51-99

Chapter III Martingale Problem
Pages 101-138

Chapter IV Stochastic Control with Complete Information
Pages 139-189

Chapter V Filtering and Prediction for Linear S.D.E.
Pages 191-220

Chapter VI Variational Methods in Stochastic Control
Pages 221-277

Chapter VII Problems of Optimal Stopping
Pages 279-353

Chapter VIII Impulsive Control
Pages 355-398

References Review Article
Pages 399-410