Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability)

Kushner, Harold J.; Dupuis, Paul G.

ISBN 10: 1461265312 / ISBN 13: 9781461265313

Published by Springer, 2013

About this Item

Seller Inventory # I-9781461265313

Bibliographic Details

• Title: Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability)
• Publisher: Springer
• Publication Date: 2013
• Language: English
• ISBN 10: 1461265312
• ISBN 13: 9781461265313
• Binding: Soft cover
• Edition: 2nd Edition
• Condition: New

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