Numerical methods for stochastic control problems in continuous time/ Harold J. Kushner and Paul G. Dupuis
Material type: 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: 518.28Item 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 |
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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