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Numerical Methods for Stochastic Control Problems in Continuous Time
Stochastic Modelling and Applied Probability 24
ISBN/EAN: 9781461265313
Umbreit-Nr.: 6589909
Sprache:
Englisch
Umfang: xii, 476 S.
Format in cm:
Einband:
kartoniertes Buch
Erschienen am 27.11.2013
Auflage: 2/2014
- Kurztext
- InhaltsangabeReview of Continuous Time Models.- Controlled Markov Chains.- Dynamic Programming Equations.- Markov Chain Approximation Method.- The Approximating Markov Chains.- Computational Methods.- The Ergodic Cost Problem.- Heavy Traffic and Singular Control.- Weak Convergence and the Characterization of Processes.- Convergence Proofs.- Convergence Proofs Continued.- Finite Time and Filtering Problems.- Controlled Variance and Jumps.- Problems from the Calculus of Variations: Finite Time Horizon.- Problems from the Calculus of Variations: Infinite Time Horizon.- The Viscosity Solution Approach.