NUMERICAL METHODS FOR STOCHASTIC CONTROL PROBLEMS IN CONTINUOUS TIME by Harold J. Kushner, Paul Dupuis ( 9780387951393 )

Item Details

Title:

NUMERICAL METHODS FOR STOCHASTIC CONTROL PROBLEMS IN CONTINUOUS TIME

By:

Format:

Hardback

List price:	£109.99
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ISBN 10:

0387951393

ISBN 13:

9780387951393

Publisher:

SPRINGER-VERLAG NEW YORK INC.

Pub. date:

15 December, 2000

Edition:

2nd ed. 2001

Series:

Stochastic Modelling and Applied Probability v. 24

Pages:

476

Description:

Stochastic control is a very active area of research. Showing the developments in the field, this monograph covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is suitable for graduate students and researchers.

Synopsis:

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 formulations are included, as well as those of more recent interest such as ergodic control, singular control and the types of reflected diffusions used as models of queuing networks. Applications to complex deterministic problems are illustrated via application to a large class of problems from the calculus of variations. The general approach is known as the Markov Chain Approximation Method. The required background to 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. This update to the first edition will include added material on the control of the 'jump term' and the 'diffusion term.'There will be additional material on the deterministic problems, solving the Hamilton-Jacobi equations, for which the authors' methods are still among the most useful for many classes of problems. All of these topics are of great and growing current interest.

Illustrations:

10 black & white tables, biography

Publication:

Imprint:

Springer-Verlag New York Inc.

Returns:

Returnable

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