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Numerical methods for stochastic control problems in continuous time

Author: Harold J Kushner; Paul Dupuis
Publisher: New York : Springer, ©2001.
Series: Applications of mathematics, 24.
Edition/Format:   Print book : English : 2nd edView all editions and formats
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Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Harold J Kushner; Paul Dupuis
ISBN: 0387951393 9780387951393
OCLC Number: 44727711
Description: xii, 475 pages : illustrations ; 25 cm.
Contents: 1. Review of Continuous Time Models --
2. Controlled Markov Chains --
3. Dynamic Programming Equations --
4. The Markov Chain Approximation Method: Introduction --
5. Construction of the Approximating Markov Chains --
6. Computational Methods for Controlled Markov Chains --
7. The Ergodic Cost Problem: Formulation and Algorithms --
8. Heavy Traffic and Singular Control --
9. Weak Convergence and the Characterization of Processes --
10. Convergence Proofs --
11. Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems --
12. Finite Time Problems and Nonlinear Filtering --
13. Controlled Variance and Jumps --
14. Problems from the Calculus of Variations: Finite Time Horizon --
15. Problems from the Calculus of Variations: Infinite Time Horizon --
16. The Viscosity Solution Approach.
Series Title: Applications of mathematics, 24.
Responsibility: Harold J. Kushner, Paul Dupuis.
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"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 Read more...

 
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