The Resource Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis

Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis

Label
Numerical methods for stochastic control problems in continuous time
Title
Numerical methods for stochastic control problems in continuous time
Statement of responsibility
Harold J. Kushner, Paul Dupuis
Creator
Contributor
Subject
Language
eng
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1933-
http://library.link/vocab/creatorName
Kushner, Harold J.
Index
index present
LC call number
QA402.37
LC item number
.K87 2001
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Dupuis, Paul
http://library.link/vocab/subjectName
  • Stochastic control theory
  • Markov processes
  • Numerical analysis
  • Markov processes
  • Numerical analysis
  • Stochastic control theory
  • Numerieke methoden
  • Stochastische modellen
  • Controle estocástico
  • Programação dinâmica
  • Cadeias de markov
  • Cálculo de variações
  • Numerisches Verfahren
  • Stochastische Kontrolltheorie
Label
Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Review of Continuous Time Models -- 2. Controlled Markov Chains -- 3. Dynamic Programming Equations -- 4. The Markov Chain Approximation Method: Introduction -- 5. Construction of the Approximating Markov Chains -- 6. Computational Methods for Controlled Markov Chains -- 7. The Ergodic Cost Problem: Formulation and Algorithms -- 8. Heavy Traffic and Singular Control -- 9. Weak Convergence and the Characterization of Processes -- 10. Convergence Proofs -- 11. Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems -- 12. Finite Time Problems and Nonlinear Filtering -- 13. Controlled Variance and Jumps -- 14. Problems from the Calculus of Variations: Finite Time Horizon -- 15. Problems from the Calculus of Variations: Infinite Time Horizon -- 16. The Viscosity Solution Approach
Dimensions
25 cm.
Edition
2nd ed.
Extent
xii, 475 pages
Isbn
9780387951393
Lccn
00061267
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
  • (OCoLC)44727711
  • (OCoLC)ocm44727711
Label
Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Review of Continuous Time Models -- 2. Controlled Markov Chains -- 3. Dynamic Programming Equations -- 4. The Markov Chain Approximation Method: Introduction -- 5. Construction of the Approximating Markov Chains -- 6. Computational Methods for Controlled Markov Chains -- 7. The Ergodic Cost Problem: Formulation and Algorithms -- 8. Heavy Traffic and Singular Control -- 9. Weak Convergence and the Characterization of Processes -- 10. Convergence Proofs -- 11. Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems -- 12. Finite Time Problems and Nonlinear Filtering -- 13. Controlled Variance and Jumps -- 14. Problems from the Calculus of Variations: Finite Time Horizon -- 15. Problems from the Calculus of Variations: Infinite Time Horizon -- 16. The Viscosity Solution Approach
Dimensions
25 cm.
Edition
2nd ed.
Extent
xii, 475 pages
Isbn
9780387951393
Lccn
00061267
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
  • (OCoLC)44727711
  • (OCoLC)ocm44727711

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