Numerical Methods for Stochastic Control Problems in Continuous Time

Language: English

Published by Springer, Springer Dez 2000, 2000

0387951393 / 9780387951393

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

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -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. 492 pp. Englisch.…

Seller Inventory # 9780387951393

Title
Numerical Methods for Stochastic Control Problems in Continuous Time
Author
Harold Kushner
Publisher
Springer, Springer Dez 2000
Publication year
2000
Condition
Neu
Binding
Buch
Language
English
ISBN 10
0387951393
ISBN 13
9780387951393
Edition
2nd Edition
Item weight
898 grams
Dimensions
241x160x31 mm
Series
Book 3 of 30: Stochastic Modelling and Applied Probability

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

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BuchWeltWeit Ludwig Meier e.K.

Germany