The Resource Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis
Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis
Resource Information
The item Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
 Summary
 "This revised and expanded second edition presents a comprehensive development of effective numerical methods for the great majority of stochastic control (and uncontrolled) problems of current interest, with diffusion, jumpdiffusion or reflected diffusion models. There is a complete coverage of the standard models as well as of ergodic and singular control, the types of reflected diffusion models that appear as models of controlled queueing networks, and the approximation of optimal nonlinear filters. There are two new chapters concerning problems with jump or variance control. The methods are powerful tools for deterministic problems as well, and there is a greatly expanded development of such problems, with particular emphasis on complex problems arising in the calculus of variations. Convergence is proved via the efficient probabilistic methods of weak convergence theory. A weak local consistency is the essential condition. The required background is surveyed, and there is an extensive development of methods of approximation and computational algorithms. The book is written on two levels: algorithms and applications, and mathematical proofs. Thus, the ideas should be very accessible to a broad audience."BOOK JACKET
 Language
 eng
 Edition
 2nd ed.
 Extent
 xii, 475 p.
 Contents

 Introduction.
 p. 1
 1.
 Review of Continuous Time Models.
 p. 7
 2.
 Controlled Markov Chains.
 p. 35
 3.
 Dynamic Programming Equations.
 p. 53
 4.
 Markov Chain Approximation Method: Introduction.
 p. 67
 5.
 Construction of the Approximating Markov Chains.
 p. 89
 6.
 Computational Methods for Controlled Markov Chains.
 p. 153
 7.
 Ergodic Cost Problem: Formulation and Algorithms.
 p. 191
 8.
 Heavy Traffic and Singular Control.
 p. 215
 9.
 Weak Convergence and the Characterization of Processes.
 p. 245
 10.
 Convergence Proofs.
 p. 267
 11.
 Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems.
 p. 301
 12.
 Finite Time Problems and Nonlinear Filtering.
 p. 325
 13.
 Controlled Variance and Jumps.
 p. 347
 14.
 Problems from the Calculus of Variations: Finite Time Horizon.
 p. 367
 15.
 Problems from the Calculus of Variations: Infinite Time Horizon.
 p. 401
 16.
 Viscosity Solution Approach.
 p. 443
 References.
 p. 455
 Index.
 p. 467
 List of Symbols.
 p. 473
 Isbn
 9780387951393
 Label
 Numerical methods for stochastic control problems in continuous time
 Title
 Numerical methods for stochastic control problems in continuous time
 Statement of responsibility
 Harold J. Kushner, Paul Dupuis
 Language
 eng
 Summary
 "This revised and expanded second edition presents a comprehensive development of effective numerical methods for the great majority of stochastic control (and uncontrolled) problems of current interest, with diffusion, jumpdiffusion or reflected diffusion models. There is a complete coverage of the standard models as well as of ergodic and singular control, the types of reflected diffusion models that appear as models of controlled queueing networks, and the approximation of optimal nonlinear filters. There are two new chapters concerning problems with jump or variance control. The methods are powerful tools for deterministic problems as well, and there is a greatly expanded development of such problems, with particular emphasis on complex problems arising in the calculus of variations. Convergence is proved via the efficient probabilistic methods of weak convergence theory. A weak local consistency is the essential condition. The required background is surveyed, and there is an extensive development of methods of approximation and computational algorithms. The book is written on two levels: algorithms and applications, and mathematical proofs. Thus, the ideas should be very accessible to a broad audience."BOOK JACKET
 Cataloging source
 DLC
 http://library.link/vocab/creatorDate
 1933
 http://library.link/vocab/creatorName
 Kushner, Harold J.
 Index
 index present
 Literary form
 non fiction
 http://library.link/vocab/relatedWorkOrContributorName
 Dupuis, Paul
 Series statement
 Applications of mathematics
 Series volume
 24
 http://library.link/vocab/subjectName

 Stochastic control theory
 Markov processes
 Numerical analysis
 Label
 Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 volume
 Carrier category code

 nc
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Introduction.
 p. 1
 1.
 Review of Continuous Time Models.
 p. 7
 2.
 Controlled Markov Chains.
 p. 35
 3.
 Dynamic Programming Equations.
 p. 53
 4.
 Markov Chain Approximation Method: Introduction.
 p. 67
 5.
 Construction of the Approximating Markov Chains.
 p. 89
 6.
 Computational Methods for Controlled Markov Chains.
 p. 153
 7.
 Ergodic Cost Problem: Formulation and Algorithms.
 p. 191
 8.
 Heavy Traffic and Singular Control.
 p. 215
 9.
 Weak Convergence and the Characterization of Processes.
 p. 245
 10.
 Convergence Proofs.
 p. 267
 11.
 Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems.
 p. 301
 12.
 Finite Time Problems and Nonlinear Filtering.
 p. 325
 13.
 Controlled Variance and Jumps.
 p. 347
 14.
 Problems from the Calculus of Variations: Finite Time Horizon.
 p. 367
 15.
 Problems from the Calculus of Variations: Infinite Time Horizon.
 p. 401
 16.
 Viscosity Solution Approach.
 p. 443
 References.
 p. 455
 Index.
 p. 467
 List of Symbols.
 p. 473
 Control code
 l80000061267
 Dimensions
 25 cm.
 Edition
 2nd ed.
 Extent
 xii, 475 p.
 Isbn
 9780387951393
 Lccn
 lc00061267
 Media category
 unmediated
 Media MARC source
 rdamedia
 Media type code

 n
 Other physical details
 ill.
 Label
 Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 volume
 Carrier category code

 nc
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Introduction.
 p. 1
 1.
 Review of Continuous Time Models.
 p. 7
 2.
 Controlled Markov Chains.
 p. 35
 3.
 Dynamic Programming Equations.
 p. 53
 4.
 Markov Chain Approximation Method: Introduction.
 p. 67
 5.
 Construction of the Approximating Markov Chains.
 p. 89
 6.
 Computational Methods for Controlled Markov Chains.
 p. 153
 7.
 Ergodic Cost Problem: Formulation and Algorithms.
 p. 191
 8.
 Heavy Traffic and Singular Control.
 p. 215
 9.
 Weak Convergence and the Characterization of Processes.
 p. 245
 10.
 Convergence Proofs.
 p. 267
 11.
 Convergence for Reflecting Boundaries, Singular Control, and Ergodic Cost Problems.
 p. 301
 12.
 Finite Time Problems and Nonlinear Filtering.
 p. 325
 13.
 Controlled Variance and Jumps.
 p. 347
 14.
 Problems from the Calculus of Variations: Finite Time Horizon.
 p. 367
 15.
 Problems from the Calculus of Variations: Infinite Time Horizon.
 p. 401
 16.
 Viscosity Solution Approach.
 p. 443
 References.
 p. 455
 Index.
 p. 467
 List of Symbols.
 p. 473
 Control code
 l80000061267
 Dimensions
 25 cm.
 Edition
 2nd ed.
 Extent
 xii, 475 p.
 Isbn
 9780387951393
 Lccn
 lc00061267
 Media category
 unmediated
 Media MARC source
 rdamedia
 Media type code

 n
 Other physical details
 ill.
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Numericalmethodsforstochasticcontrolproblems/Dy83ZQ7nmwk/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Numericalmethodsforstochasticcontrolproblems/Dy83ZQ7nmwk/">Numerical methods for stochastic control problems in continuous time, Harold J. Kushner, Paul Dupuis</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">University of Liverpool</a></span></span></span></span></div>