"The 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. Convergence of the numerical approximations is proved via the efficient probabilistic methods of weak convergence theory. The methods also apply to the calculation of functionals of uncontrolled processes and for the appropriate to optimal nonlinear filters as well. 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. 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." (Publisher).

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Detalles bibliogr�ficos

T�tulo

Numerical Methods for Stochastic Control Problems in Continuous Time (Applications of Mathematics, Vol 24)

Editor

U.S.A.: Springer-Verlag

Fecha de publicaci�n

1992

Idioma

Ingl�s

ISBN 10

0387978348

ISBN 13

9780387978345

Encuadernaci�n

Hardcover

Edici�n

1st Edition

Estado

Near Fine

Estado de la sobrecubierta

No Jacket

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Sinopsis

Used book in good condition, due to its age it could contain normal signs of use

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Atticus Books, Inc.
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We use the postal service for shipping. We have no handling charge. Shipping charges depend upon parcel weight. For Canadian delivery via regular post, the charge depends upon postal code. For USA delivery, the surface mail charge for the average book (1kg or less)is US$4.99 For international delivery, the surface mail charge for the average book (1kg or less)is US$16.50; the air mail charge is US$32.50. Please note: Canada Post does not offer Global Priority.