Numerical methods for stochastic control problems in continuous time/
Kushner, Harold J.
Numerical methods for stochastic control problems in continuous time/ Harold J. Kushner and Paul G. Dupuis - 2nd ed. - New York: Springer, 2001. - xii, 475 p. : ill. ; 25 cm. - (Applications of mathematics), 24 .
1. Review of Continuous Time Models --
2. Controlled Markov Chains --
3. Dynamic Programming Equations --
4. The Markov Chain Approximation Method: Introduction --
5. Construction of the Approximating Markov Chains --
6. Computational Methods for Controlled Markov Chains --
7. The Ergodic Cost Problem: Formulation and Algorithms --
8. Heavy Traffic and Singular Control --
9. Weak Convergence and the Characterization of Processes --
10. Convergence Proofs --
11. Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems --
12. Finite Time Problems and Nonlinear Filtering --
13. Controlled Variance and Jumps --
14. Problems from the Calculus of Variations: Finite Time Horizon --
15. Problems from the Calculus of Variations: Infinite Time Horizon --
16. The Viscosity Solution Approach.
0387951393
Markov processes
Numerical analysis
Stochastic control theory
Probabilities
System theory
Mathematics
518.28 / KUS/N
Numerical methods for stochastic control problems in continuous time/ Harold J. Kushner and Paul G. Dupuis - 2nd ed. - New York: Springer, 2001. - xii, 475 p. : ill. ; 25 cm. - (Applications of mathematics), 24 .
1. Review of Continuous Time Models --
2. Controlled Markov Chains --
3. Dynamic Programming Equations --
4. The Markov Chain Approximation Method: Introduction --
5. Construction of the Approximating Markov Chains --
6. Computational Methods for Controlled Markov Chains --
7. The Ergodic Cost Problem: Formulation and Algorithms --
8. Heavy Traffic and Singular Control --
9. Weak Convergence and the Characterization of Processes --
10. Convergence Proofs --
11. Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems --
12. Finite Time Problems and Nonlinear Filtering --
13. Controlled Variance and Jumps --
14. Problems from the Calculus of Variations: Finite Time Horizon --
15. Problems from the Calculus of Variations: Infinite Time Horizon --
16. The Viscosity Solution Approach.
0387951393
Markov processes
Numerical analysis
Stochastic control theory
Probabilities
System theory
Mathematics
518.28 / KUS/N