Numerical Methods for Stochastic Control Problems in Continuous Time (Ima Volumes in Mathematics and Its Applications) - Hardcover

Kushner, Harold J.

Hardcover

ISBN 10: 3540978348 ISBN 13: 9783540978343

Publisher: Springer-Verlag, 1992

Synopsis

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 Finite Time Horizon.- Problems from the Calculus of Infinite Time Horizon.- The Viscosity Solution Approach.

About this title

Review

"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 2001

Edition details

• Publisher: Springer-Verlag
• Publication date: 1992
• Language: English
• ISBN 10: 3540978348
• ISBN 13: 9783540978343
• Binding: Hardcover
• Number of pages: 439