Numerical Methods for Stochastic Control Problems in Continuous Time /

The 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 formulatio...

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Bibliographic Details

Main Author:	Kushner, Harold J.
Corporate Author:	SpringerLink (Online service)
Other Authors:	Dupuis, Paul G.
Format:	eBook
Language:	English
Published:	New York, NY : Springer US, 1992.
Series:	Applications of Mathematics, Stochastic Modelling and Applied Probability ; 24.
Subjects:	Mathematics. System theory. Numerical analysis. Mathematical optimization. Distribution (Probability theory) Electronic books.
Online Access:	Connect to the full text of this electronic book