Numerical Methods for Stochastic Control Problems in Continuous Time: 24 (Stochastic Modelling and Applied Probability, 24) - Softcover

Kushner, Harold; Dupuis, Paul G.

 
9781461265313: Numerical Methods for Stochastic Control Problems in Continuous Time: 24 (Stochastic Modelling and Applied Probability, 24)
Softcover
ISBN 10: 1461265312 ISBN 13: 9781461265313
Publisher: Springer, 2013

Synopsis

Stochastic control is a very active area of research and 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 (algorithms and applications) and that of the mathematical development. It is broadly accessible for graduate students and researchers.

"synopsis" may belong to another edition of this title.

Review

"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

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2013
Language
English
ISBN 10 
1461265312
ISBN 13 
9781461265313
Binding
Paperback
Edition number
2
Number of pages
488

Other Popular Editions of the Same Title

9780387951393: Numerical Methods for Stochastic Control Problems in Continuous Time: 24 (Stochastic Modelling and Applied Probability, 24)

Featured Edition

ISBN 10:  0387951393 ISBN 13:  9780387951393
Publisher: Springer, 2000
Hardcover