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Numerical Methods for Stochastic Control Problems in Continuous Time

Language EnglishEnglish
Book Hardback
Book Numerical Methods for Stochastic Control Problems in Continuous Time Harold J. Kushner
Libristo code: 01384274
Publishers Springer-Verlag New York Inc., December 2000
Essentially all that is required of the approximations are some natural local consistency conditions... Full description
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Essentially all that is required of the approximations are some natural local consistency conditions. The approximations are consistent with standard methods of numerical analysis. The required background in stochastic processes is surveyed, there is an extensive development of methods of approximation, and a chapter is devoted to computational techniques. The book is written on two levels, that of practice (algorithms and applications), and that of the mathematical development. Thus the methods and use should be broadly accessible.§

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About the book

Full name Numerical Methods for Stochastic Control Problems in Continuous Time
Author Harold J. Kushner, Paul G. Dupuis
Language English
Binding Book - Hardback
Date of issue 2000
Number of pages 476
EAN 9780387951393
ISBN 0387951393
Libristo code 01384274
Publishers Springer-Verlag New York Inc.
Weight 868
Dimensions 175 x 246 x 36

Categories

Reference, Information & Interdisciplinary subjects > Research & information: general > Information theory > Cybernetics & systems theory
Mathematics & Science > Mathematics > Calculus & mathematical analysis > Calculus of variations
Mathematics & Science > Mathematics > Applied mathematics > Stochastics
Mathematics & Science > Mathematics > Probability & statistics
Mathematics & Science > Mathematics > Optimization
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