000			00406nam a2200145Ia 4500
999			_c170305 _d170305
020			_a0387951393
040			_cCUS
082			_a518.28 _bKUS/N
100			_aKushner, Harold J.
245		0	_aNumerical methods for stochastic control problems in continuous time/ _cHarold J. Kushner and Paul G. Dupuis
250			_a2nd ed.
260			_aNew York: _bSpringer, _c2001.
300			_axii, 475 p. : _bill. ; _c25 cm.
440			_a(Applications of mathematics), _v24
505			_a1. 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.
650			_aMarkov processes
650			_aNumerical analysis
650			_aStochastic control theory
650			_aProbabilities
650			_aSystem theory
650			_aMathematics
700			_aDupuis, Paul
942			_cWB16