Isbn: 9781461265313 - numerical methods for stochastic control problems in continuous time: 24 (stochastic modelling and applied probability) (15 resultados)

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Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new problem formulations and sometimes surprising applications appear regu larly. We have chosen forms of the models which cover the great bulk of the formulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or 'projected' from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types.…

Paperback. Condición: Brand New. 2nd reprint edition. 488 pages. 9.25x6.10x1.20 inches. In Stock.

Taschenbuch. Condición: Neu. Numerical Methods for Stochastic Control Problems in Continuous Time | Harold Kushner (u. a.) | Taschenbuch | xii | Englisch | 2013 | Springer New York | EAN 9781461265313 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. …

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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new problem formulations and sometimes surprising applications appear regu larly. We have chosen forms of the models which cover the great bulk of the formulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or 'projected' from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. 476 pp. Englisch.…

Kartoniert / Broschiert. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 continuou.…

Condición: New. Print on Demand pp. 492 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam.

Condición: New. PRINT ON DEMAND pp. 492.