| 書目名稱 | Numerical Methods for Stochastic Control Problems in Continuous Time |
| 編輯 | Harold J. Kushner,Paul Dupuis |
| 視頻video | http://file.papertrans.cn/670/669095/669095.mp4 |
| 叢書名稱 | Stochastic Modelling and Applied Probability |
| 圖書封面 |  |
| 描述 | Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new problem formulations and sometimes surprising applications appear regu- larly. We have chosen forms of the models which cover the great bulk of the formulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary |
| 出版日期 | Textbook 2001Latest edition |
| 關(guān)鍵詞 | Calculus of Variations; Markov chain; Stochastic processes; Variance; algorithms; filtering problem; stoch |
| 版次 | 2 |
| doi | https://doi.org/10.1007/978-1-4613-0007-6 |
| isbn_softcover | 978-1-4612-6531-3 |
| isbn_ebook | 978-1-4613-0007-6Series ISSN 0172-4568 Series E-ISSN 2197-439X |
| issn_series | 0172-4568 |
| copyright | Springer Science+Business Media New York 2001 |
|Archiver|手機版|小黑屋|
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