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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

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
Creator
Contributor
Subject
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, jump-diffusion 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
Instantiates
Publication
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
Publication
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.

Library Locations

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      Ashton Street, Liverpool, L69 3DA, GB
      53.418074 -2.967913
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