Numerical Methods for Stochastic Control Problems in Continuous Time: 24 - Brossura

Kushner, Harold J.; Dupuis, Paul G.

 
9781461265313: Numerical Methods for Stochastic Control Problems in Continuous Time: 24
Brossura
ISBN 10: 1461265312 ISBN 13: 9781461265313
Casa editrice: Springer, 2013

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer
Data di pubblicazione
2013
Lingua
Inglese
ISBN 10 
1461265312
ISBN 13 
9781461265313
Rilegatura
Copertina flessibile
Numero di pagine
492
Contatto del produttore
non disponibile
Persona responsabile
Springer Nature Customer Service Center GmbH
ProductSafety@springernature.com

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Heidelberg
69115
Germania

Altre edizioni note dello stesso titolo

9780387951393: Numerical Methods for Stochastic Control Problems in Continuous Time: 24

Edizione in evidenza

ISBN 10:  0387951393 ISBN 13:  9780387951393
Casa editrice: Springer Nature, 2000
Rilegato