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...
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| Format: | eBook |
| Language: | English |
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New York :
Springer,
[2001]
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| Edition: | Second edition. |
| Series: | Applications of mathematics ;
24. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
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