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Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability)
Kushner, Harold, Dupuis, Paul G.
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Description for Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability)
Paperback. Series: Stochastic Modelling and Applied Probability. Num Pages: 476 pages, 10 black & white tables, biography. BIC Classification: GPFC; PBKQ; PBT. Category: (P) Professional & Vocational. Dimension: 158 x 236 x 28. Weight in Grams: 726.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2013
Publisher
Springer
Condition
New
Series
Stochastic Modelling and Applied Probability
Number of Pages
476
Place of Publication
New York, NY, United States
ISBN
9781461265313
SKU
V9781461265313
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability)
"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