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Numerical Methods for Stochastic Control Problems in Continuous Time (Applications of Mathematics, Vol 24) - Hardcover
Synopsis
The book presents a comprehensive development of effective numerical methods for stochastic control problems in continuous time. The process models are diffusions, jump-diffusions or reflected diffusions of the type that occur in the majority of current applications. All the usual problem formulations are included, as well as those of more recent interest such as ergodic control, singular control and the types of reflected diffusions used as models of queuing networks. Convergence of the numerical approximations is proved via the efficient probabilistic methods of weak convergence theory. The methods also apply to the calculation of functionals of uncontrolled processes and for the appropriate to optimal nonlinear filters as well. Applications to complex deterministic problems are illustrated via application to a large class of problems from the calculus of variations. The general approach is known as the Markov Chain Approximation Method. Essentially all that is required of the approximations are some natural local consistency conditions. The approximations are consistent with standard methods of numerical analysis. The required background in stochastic processes is surveyed, there is an extensive development of methods of approximation, and a chapter is devoted to computational techniques. The book is written on two levels, that of practice (algorithms and applications), and that of the mathematical development. Thus the methods and use should be broadly accessible.
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About the Author
Harold J. Kushner is Professor of Applied Mathematics and Engineering at Brown University and is one of the leading researchers in the area of stochastic processes concerned with analysis and synthesis in control and communications theory.
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Numerical Methods for Stochastic Control Problems in Continuous Time (Applications of Mathematics, Vol 24)
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Numerical Methods for Stochastic Control Problems in Continuous Time
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Springer Verlag, New York, NY, 1992
ISBN 10: 0387978348
ISBN 13: 9780387978345
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Hardcover
First Edition
Seller: Black Cat Hill Books, Oregon City, OR, U.S.A.
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Hardcover. Condition: Fine. First Edition; First Printing. First Edition (1992) , First Printing indicated by a complete numerical sequence. Fine: flawless; the binding is square and secure; the text is clean. Free of creased or dog-eared pages in the text. Free of underlining, hi-lighting, notations, or marginalia. Free of ownership names, dates, addresses, notations, inscriptions, stamps, or labels. Bright, crisp and clean. Virtually 'As New'. NOT a Remainder, Book-Club, or Ex-Library. 8vo. (9.55 x 6.35 x 1 inches) . 40 Illustrations in 43 parts. Language: English. Weight: 27.6 ounces. Hardback: No DJ 'as issued'. The book presents a comprehensive development of effective numerical methods for stochastic control problems in continuous time. The process models are diffusions, jump-diffusions or reflected diffusions of the type that occur in the majority of current applications. All the usual problem formulations are included, as well as those of more recent interest such as ergodic control, singular control and the types of reflected diffusions used as models of queuing networks. ; Applications of Mathematics; Vol. 24; Large 8vo 9" - 10" tall; ix, 439 pages. Seller Inventory # 58264
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Numerical Methods for Stochastic Control Problems in Continuous Time.
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gebundene Ausgabe. Condition: Gut. 439 Seiten; Das hier angebotene Buch stammt aus einer teilaufgelösten Bibliothek und kann die entsprechenden Kennzeichnungen aufweisen (Rückenschild, Instituts-Stempel.); der Buchzustand ist ansonsten ordentlich und dem Alter entsprechend gut. In ENGLISCHER Sprache. Sprache: Englisch Gewicht in Gramm: 805. Seller Inventory # 2235073
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Numerical Methods for Stochastic Control Problems in Continuous Time (Applications of Mathematics, Vol 24)
Published by
U.S.A.: Springer-Verlag, 1992
ISBN 10: 0387978348
ISBN 13: 9780387978345
Used
Hardcover
First Edition
Seller: Atticus Books, Toronto, ON, Canada
Seller rating 4 out of 5 stars
Hardcover. Condition: Near Fine. No Jacket. 1st Edition. "The book presents a comprehensive development of effective numerical methods for stochastic control problems in continuous time. The process models are diffusions, jump-diffusions or reflected diffusions of the type that occur in the majority of current applications. All the usual problem formulations are included, as well as those of more recent interest such as ergodic control, singular control and the types of reflected diffusions used as models of queuing networks. Convergence of the numerical approximations is proved via the efficient probabilistic methods of weak convergence theory. The methods also apply to the calculation of functionals of uncontrolled processes and for the appropriate to optimal nonlinear filters as well. Applications to complex deterministic problems are illustrated via application to a large class of problems from the calculus of variations. The general approach is known as the Markov Chain Approximation Method. Essentially all that is required of the approximations are some natural local consistency conditions. The approximations are consistent with standard methods of numerical analysis. The required background in stochastic processes is surveyed, there is an extensive development of methods of approximation, and a chapter is devoted to computational techniques. The book is written on two levels, that of practice (algorithms and applications), and that of the mathematical development. Thus the methods and use should be broadly accessible." (Publisher). Seller Inventory # HS41W
Quantity: 1 available
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Numerical Methods for Stochastic Control Problems in Continuous Time
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New York / Berlin / Heidelberg, Springer-Verlag, 1992
ISBN 10: 0387978348
ISBN 13: 9780387978345
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Hardcover
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8° Gebundene Ausgabe. Condition: Sehr gut. Applications of Mathematics Vol. 24. IX 439 Seiten Ausgetragenes Bibliotheksexemplar mit den üblichen Inventarvermerken und Stempeln. Bibliothekskarte auf Vorsatz. Biliotheksschild auf Rücken und hinterem Deckel. Markierung auf Fußschnitt. Einband berieben. Abdruck einer Büroklammer auf Schmutztitel. Erste Seiten knickspurig (bis S. 2). Papier ansonsten fast neuwertig. Buch ist allgemein in einem sehr guten Zustand. Zahlr. Abb. // Ex-library book with the usual stamps and registration numbers. Impression of a paper clip on half-title. General condition: very good. MIG-25-06B Sprache: Englisch Gewicht in Gramm: 788. Seller Inventory # 1845339
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Numerical Methods for Stochastic Control Problems in Continuous Time (Applications of Mathematics).
Published by
Springer-Verlag New York, Inc., 1992
ISBN 10: 0387978348
ISBN 13: 9780387978345
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Hardcover
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gebundene Ausgabe. Condition: Sehr gut. Applications of Mathematics, Band 24. Zust: Gutes Exemplar. IX, 439 Seiten, Englisch 784g. Seller Inventory # 493814
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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability).
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Karton. Condition: Sehr gut. Zust: Gutes Exemplar. 439 Seiten Englisch 786g. Seller Inventory # 485425
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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24)
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Condition: Sehr gut. Zustand: Sehr gut | Seiten: 449 | Sprache: Englisch | Produktart: Bücher. Seller Inventory # 41668204/202
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