Numerical Methods for Stochastic Control Problems in Continuous Time / Edition 2

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Overview

Shastic 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 shastic 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.

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Editorial Reviews

From the Publisher
"The second edition of this acclaimed book from Springer-Verlag has the latest theoretical and practical information on solving shastic 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
Booknews
Process models used are diffusions, jump-diffusions, or reflected diffusions of the type that occur in the majority of current applications. The required background in stochastic processes is surveyed, followed by extensive development of methods of approximation and a chapter devoted to computational techniques. The book is written on two levels, that of algorithms and applications, and that of mathematical development, making the methods used broadly accessible. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

Table of Contents

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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