Numerical Methods for Stochastic Control Problems in Continuous Time
2nd Edition
Published on 27. November 2013
Book
Paperback/Softback
XII, 476 pages
978-1-4612-6531-3 (ISBN)
Description
Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.
Reviews / Votes
"The second edition of this acclaimed book from Springer-Verlag has the latest theoretical and practical information on solving stochastic control problems. Including proofs and algorithms using diffusion, jump-diffusion, and other process models, the authors help make randomness a little less scary." Amazon.com Delivers Mathematics and Statistics e-bulletin, July 2001More details
Product info
Book
Series
Language
English
Place of publication
New York, NY
United States
Target group
Research
Illustrations
10 s/w Tabellen
10 black & white tables, biography
Dimensions
Height: 234 mm
Width: 156 mm
Thickness: 25 mm
Weight
680 gr
ISBN-13
978-1-4612-6531-3 (9781461265313)
DOI
10.1007/978-1-4613-0007-6
Schweitzer Classification
Other editions
Additional editions
Harold Kushner | Paul G. Dupuis
Numerical Methods for Stochastic Control Problems in Continuous Time
Book
12/2000
2nd Edition
Springer
€149.79
Shipment within 5-7 days
Content
Review of Continuous Time Models.- Controlled Markov Chains.- Dynamic Programming Equations.- Markov Chain Approximation Method.- The Approximating Markov Chains.- Computational Methods.- The Ergodic Cost Problem.- Heavy Traffic and Singular Control.- Weak Convergence and the Characterization of Processes.- Convergence Proofs.- Convergence Proofs Continued.- Finite Time and Filtering Problems.- Controlled Variance and Jumps.- Problems from the Calculus of Variations: Finite Time Horizon.- Problems from the Calculus of Variations: Infinite Time Horizon.- The Viscosity Solution Approach.