Numerical Methods for Stochastic Control Problems in Continuous Time
Author | : Harold Kushner |
Publisher | : Springer Science & Business Media |
Total Pages | : 480 |
Release | : 2013-11-27 |
ISBN-10 | : 9781461300076 |
ISBN-13 | : 146130007X |
Rating | : 4/5 (07X Downloads) |
Download or read book Numerical Methods for Stochastic Control Problems in Continuous Time written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.