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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24) by Harold J. Kushner, Paul Dupuis (auth.) is a nonfiction available to read on EtoBox.

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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 o

Who reads Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24)?

Author

Harold J. Kushner, Paul Dupuis (auth.)

Publisher

Springer-Verlag New York

Published

2001

Language

EN

ISBN

9780387951393

Category

nonfiction

Subjects

Mathematics, Science, Computer Science