TY  - BOOK
AU  - Kushner, Harold J.
AU  - Dupuis, Paul
TI  - Numerical methods for stochastic control problems in continuous time
SN  - 0387951393
U1  - 518.28 
PY  - 2001///
CY  - New York
PB  - Springer
KW  - Markov processes
KW  - Numerical analysis
KW  - Stochastic control theory
KW  - Probabilities
KW  - System theory
KW  - Mathematics
N1  - 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
ER  -