Numerical Methods for Stochastic Control Problems in Continuous Time

Harold Kushner

ISBN 10: 1461265312 / ISBN 13: 9781461265313

Published by Springer New York, 2013

About this Item

Druck auf Anfrage Neuware - Printed after ordering - Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new problem formulations and sometimes surprising applications appear regu larly. We have chosen forms of the models which cover the great bulk of the formulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or 'projected' from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types.

Seller Inventory # 9781461265313

Bibliographic Details

• Title: Numerical Methods for Stochastic Control Problems in Continuous Time
• Publisher: Springer New York
• Publication Date: 2013
• Language: English
• ISBN 10: 1461265312
• ISBN 13: 9781461265313
• Binding: Taschenbuch
• Edition: 2nd Edition
• Condition: Neu
• Dimensions: 234W x 156H x 25D millimeters 234 millimeters width by 156 millimeters height by 25 millimeters depth
• Weight: 680 grams

About this title

Synopsis

Stochastic control is a very active area of research and 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 (algorithms and applications) and that of the mathematical development. It is broadly accessible for graduate students and researchers.

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