Numerical methods for stochastic control problems in continuous time /

This book presents a comprehensive development of effective numerical methods for stochastic control problems in continuous time. The process models are diffusions, jump-diffusions, or reflected diffusions of the type that occur in the majority of current applications. All the usual problem formulat...

Full description

Bibliographic Details

Main Author:	Kushner, Harold J. (Harold Joseph), 1933-
Corporate Author:	SpringerLink (Online service)
Other Authors:	Dupuis, Paul
Format:	eBook
Language:	English
Published:	New York : Springer, [2001]
Edition:	Second edition.
Series:	Applications of mathematics ; 24.
Subjects:	Stochastic control theory. Markov processes. Numerical analysis. Numerieke methoden. Stochastische modellen. Controle estocástico. Programação dinâmica. Cadeias de markov. Calculo De Variacoes. Numerisches Verfahren. Stochastische Kontrolltheorie. Electronic books.
Online Access:	Connect to the full text of this electronic book