Cover Image
Read Now

Numerical Methods for Stochastic Control Problems in Continuous Time

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, includin...

Full description

Bibliographic Details
Main Authors: Kushner, Harold, Dupuis, Paul G. (Author)
Format: eBook
Language:English
Published: New York, NY Springer New York 2001, 2001
Edition:2nd ed. 2001
Series:Stochastic Modelling and Applied Probability
Subjects:
Calculus Of Variations And Optimization
Control Theory
Systems Theory, Control
Probability Theory
System Theory
Mathematical Optimization
Calculus Of Variations
Probabilities
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
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

Similar Items