Numerical Methods for Stochastic Control Problems in Continuous Time
Language: English
Published by Springer, 2013
Series: Book 3 of 30 - Stochastic Modelling and Applied Probability
- Softcover
- New
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pp. 492.
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- Title
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Author
- Harold Kushner Paul G. Dupuis
- Publisher
- Springer
- Publication year
- 2013
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 1461265312
- ISBN 13
- 9781461265313
- Edition
- 2nd Edition
- Series
- Book 3 of 30: Stochastic Modelling and Applied Probability
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.
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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
Amazon.com Delivers Mathematics and Statistics e-bulletin, July 2001
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Books Puddle
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