Stochastic processes and optimal control
By: edited by Hans J. Engelbert, Ioannis Karatzas, and Michael Röckner.
Contributors: Engelbert, Hans Jürgen.; Karatzas, Ioannis.; Röckner, Michael, 1956-; Winterschool on Stochastic Processes and Optimal Control (9th : 1993 : Friedrichroda, Germany)
Series: Stochastics monographs,; v. 7
Publisher: Gordon and Breach
Published: 1993
Place of publication: Yverdon, Switzerland; Langhorne, Pa., U.S.A
Language: eng
Number of pages: 216
Subjects: Stochastic processes -- Congresses.; Control theory -- Congresses.; Mathematical optimization -- Congresses.
Description: This volume comprises lectures presented at the 9th Winter School on Stochastic Processes and Optimal Control, held in Friedrichroda, Germany, 1-7 March 1992.

Focusing on the most interesting problems currently facing stochastic processes researchers. The winter school organized two series of lectures, Constrained Control Problems in Finance Mathematics, given by Ioanis Karatzas and Dirichlet Forms and Stochastic Processes, presented by Michael Rockner. Other papers in this collection detail recent developments in stochastic processes, stochastic analysis, Markov processes and optimal stochastic control.

It is hoped that this volume will give a unique insight into the work of the winter school and will be of considerable value to graduate students and researchers working on both the theory and the applications of stochastic processes.
Notes: Includes bibliographical references and index.
Lectures presented at the 9th Winterschool on Stochastic Processes and Optimal Control, held in Friedrichroda, Germany, Mar. 1-7, 1993.