Numerical Methods for Stochastic Control Problems in Continuous Time

Language: English

Published by Springer New York, 2013

1461265312 / 9781461265313

Series: Book 3 of 30 - Stochastic Modelling and Applied Probability

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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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

Title
Numerical Methods for Stochastic Control Problems in Continuous Time
Author
Harold Kushner
Publisher
Springer New York
Publication year
2013
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
1461265312
ISBN 13
9781461265313
Edition
2nd Edition
Item weight
680 grams
Dimensions
234x156x25 mm
Series
Book 3 of 30: Stochastic Modelling and Applied Probability

AHA-BUCH GmbH

Einbeck, Germany

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AbeBooks seller since August 14, 2006

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