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