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Numerical methods for stochastic control problems in continuous time/ Harold J. Kushner and Paul G. Dupuis

By: Kushner, Harold JContributor(s): Dupuis, PaulMaterial type: Text

TextSeries: (Applications of mathematics) ; 24Publication details: New York: Springer, 2001Edition: 2nd edDescription: xii, 475 p. : ill. ; 25 cmISBN: 0387951393Subject(s): Markov processes | Numerical analysis | Stochastic control theory | Probabilities | System theory | MathematicsDDC classification: 518.28

Contents:

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.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
General Books	Central Library, Sikkim University General Book Section	518.28 KUS/N (Browse shelf(Opens below))	Available		P25282

Total holds: 0

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.

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