Numerical Methods for Stochastic Control Problems in Continuous Time
Harold Kushner author Paul G Dupuis author
Format:Hardback
Publisher:Springer-Verlag New York Inc.
Currently unavailable, and unfortunately no date known when it will be back
2nd edition
Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development.
Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.
"The second edition of this acclaimed book from Springer-Verlag has the latest theoretical and practical information on solving stochastic control problems. Including proofs and algorithms using diffusion, jump-diffusion, and other process models, the authors help make randomness a little less scary."
Amazon.com Delivers Mathematics and Statistics e-bulletin, July 2001
ISBN: 9780387951393
Dimensions: unknown
Weight: 898g
476 pages
2nd ed. 2001