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<p>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 numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.</p>
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Recensione
"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
Contenuti
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 Variations: Finite Time Horizon.- Problems from the Calculus of Variations: Infinite Time Horizon.- The Viscosity Solution Approach.
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Numerical Methods for Stochastic Control Problems in Continuous Time.
Editore:
New York, Springer., 2001
ISBN 10: 0387951393
ISBN 13: 9780387951393
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Da: Universitätsbuchhandlung Herta Hold GmbH, Berlin, Germania
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2nd, ed. XII, 475 p. Hardcover. 2nd Ed. Versand aus Deutschland / We dispatch from Germany via Air Mail. Einband bestoßen, daher Mängelexemplar gestempelt, sonst sehr guter Zustand. Imperfect copy due to slightly bumped cover, apart from this in very good condition. Stamped. Stamped/gestempelt. Stochastic Modelling and Applied Probability , Vol. 24. Sprache: Englisch. Codice articolo 26970AB
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Numerical Methods for Stochastic Control Problems in Continuous Time (Volume 24)
Da: Anybook.com, Lincoln, Regno Unito
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Condizione: Poor. Volume 24. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Book contains pencil markings. In poor condition, suitable as a reading copy. Water damaged. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,900grams, ISBN:9780387951393. Codice articolo 8983226
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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability (24))
Da: Open Books, Chicago, IL, U.S.A.
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Hardcover. Condizione: Acceptable. Notes and highlighting throughout. Stain on bottom edge. Open Books is a nonprofit social venture that provides literacy experiences for thousands of readers each year through inspiring programs and creative capitalization of books. Codice articolo mon0000627124
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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24)
Da: GoldBooks, Denver, CO, U.S.A.
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Condizione: new. Codice articolo 54C41_52_0387951393
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Numerical Methods for Stochastic Control Problems in Continuous Time
Print on DemandDa: moluna, Greven, Germania
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 numerical methods for stochastic control problems in continuou. Codice articolo 5912357
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Numerical Methods for Stochastic Control Problems in Continuous Time
Print on DemandDa: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Buch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers. 492 pp. Englisch. Codice articolo 9780387951393
Quantità: 2 disponibili
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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24)
Da: Ria Christie Collections, Uxbridge, Regno Unito
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Condizione: New. In English. Codice articolo ria9780387951393_new
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Numerical Methods for Stochastic Control Problems in Continuous Time
Editore:
Springer New York, Springer New York Dez 2000, 2000
ISBN 10: 0387951393
ISBN 13: 9780387951393
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Buch. Condizione: Neu. 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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 492 pp. Englisch. Codice articolo 9780387951393
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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24)
Da: California Books, Miami, FL, U.S.A.
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Condizione: New. Codice articolo I-9780387951393
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Numerical Methods for Stochastic Control Problems in Continuous Time
Editore:
Springer New York, Springer New York, 2000
ISBN 10: 0387951393
ISBN 13: 9780387951393
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Da: AHA-BUCH GmbH, Einbeck, Germania
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Buch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Codice articolo 9780387951393
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