Numerical Methods for Stochastic Control Problems in Continuous Time (Ima Volumes in Mathematics and Its Applications)

Kushner, Harold J.

ISBN 10: 3540978348 / ISBN 13: 9783540978343

Published by Springer-Verlag 0, 1992

About this Item

Very Good. Dust Jacket may NOT BE INCLUDED.CDs may be missing. SHIPS FROM MULTIPLE LOCATIONS.

Seller Inventory # ERICA82935409783484

Bibliographic Details

• Title: Numerical Methods for Stochastic Control Problems in Continuous Time (Ima Volumes in Mathematics and Its Applications)
• Publisher: Springer-Verlag 0
• Publication Date: 1992
• Language: English
• ISBN 10: 3540978348
• ISBN 13: 9783540978343
• Binding: hardcover
• Condition: Very Good
• Dust Jacket Condition: Dust Jacket Included
• Book Type: book

About this title

Synopsis

Review of Continuous Time Models.- Controlled Markov Chains.- Dynamic Programming Equations.- Markov Chain Approximation Method.- The Approximating Markov Chains.- Computational Methods.- The Ergodic Cost Problem.- Heavy Traffic and Singular Control.- Weak Convergence and the Characterization of Processes.- Convergence Proofs.- Convergence Proofs Continued.- Finite Time and Filtering Problems.- Controlled Variance and Jumps.- Problems from the Calculus of Finite Time Horizon.- Problems from the Calculus of Infinite Time Horizon.- The Viscosity Solution Approach.

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