Numerical Methods for Stochastic Control Problems in Continuous Time
Language: English
Published by Springer New York Nov 2013, 2013
Series: Book 3 of 30 - Stochastic Modelling and Applied Probability
- Softcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 92.42
Quantity: 2 available
Add to basketItem description from seller
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.…
Seller Inventory # 9781461265313
- Title
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Author
- Harold Kushner
- Publisher
- Springer New York Nov 2013
- Publication year
- 2013
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 1461265312
- ISBN 13
- 9781461265313
- Edition
- 2nd Edition
- Item weight
- 680 grams
- Dimensions
- 234x156x25 mm
- Series
- Book 3 of 30: Stochastic Modelling and Applied Probability
"Synopsis" may belong to another edition of this title.
Review
Amazon.com Delivers Mathematics and Statistics e-bulletin, July 2001
"About the title" may belong to another edition of this title.
BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
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