The book presents a comprehensive development of effective numerical methods for stochastic control problems in continuous time. The process models are diffusions, jump-diffusions or reflected diffusions of the type that occur in the majority of current applications. All the usual problem formulations are included, as well as those of more recent interest such as ergodic control, singular control and the types of reflected diffusions used as models of queuing networks. Convergence of the numerical approximations is proved ...
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The book presents a comprehensive development of effective numerical methods for stochastic control problems in continuous time. The process models are diffusions, jump-diffusions or reflected diffusions of the type that occur in the majority of current applications. All the usual problem formulations are included, as well as those of more recent interest such as ergodic control, singular control and the types of reflected diffusions used as models of queuing networks. Convergence of the numerical approximations is proved via the efficient probabilistic methods of weak convergence theory. The methods also apply to the calculation of functionals of uncontrolled processes and for the appropriate to optimal nonlinear filters as well. Applications to complex deterministic problems are illustrated via application to a large class of problems from the calculus of variations. The general approach is known as the Markov Chain Approximation Method. Essentially all that is required of the approximations are some natural local consistency conditions. The approximations are consistent with standard methods of numerical analysis. The required background in stochastic processes is surveyed, there is an extensive development of methods of approximation, and a chapter is devoted to computational techniques. The book is written on two levels, that of practice (algorithms and applications), and that of the mathematical development. Thus the methods and use should be broadly accessible.
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Add this copy of Numerical Methods for Stochastic Control Problems in to cart. $46.14, poor condition, Sold by Anybook rated 4.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2001 by Springer.
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Volume 24. This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Book contains pencil markings. In poor condition, suitable as a reading copy. Water damaged. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 900grams, ISBN: 9780387951393.
Add this copy of Numerical Methods for Stochastic Control Problems in to cart. $78.00, very good condition, Sold by Atticus Books rated 3.0 out of 5 stars, ships from Toronto, ON, CANADA, published 1992 by U.S.A. : Springer-Verlag.
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Near Fine. No Jacket. "The book presents a comprehensive development of effective numerical methods for stochastic control problems in continuous time. The process models are diffusions, jump-diffusions or reflected diffusions of the type that occur in the majority of current applications. All the usual problem formulations are included, as well as those of more recent interest such as ergodic control, singular control and the types of reflected diffusions used as models of queuing networks. Convergence of the numerical approximations is proved via the efficient probabilistic methods of weak convergence theory. The methods also apply to the calculation of functionals of uncontrolled processes and for the appropriate to optimal nonlinear filters as well. Applications to complex deterministic problems are illustrated via application to a large class of problems from the calculus of variations. The general approach is known as the Markov Chain Approximation Method. Essentially all that is required of the approximations are some natural local consistency conditions. The approximations are consistent with standard methods of numerical analysis. The required background in stochastic processes is surveyed, there is an extensive development of methods of approximation, and a chapter is devoted to computational techniques. The book is written on two levels, that of practice (algorithms and applications), and that of the mathematical development. Thus the methods and use should be broadly accessible." (Publisher)
Add this copy of Numerical Methods for Stochastic Control Problems in to cart. $93.93, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2013 by Springer.
Add this copy of Numerical Methods for Stochastic Control Problems in to cart. $104.22, fair condition, Sold by Open Books Ltd rated 4.0 out of 5 stars, ships from Chicago, IL, UNITED STATES, published 2000 by Springer.
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Fair. Notes and highlighting throughout. Stain on bottom edge. Open Books is a nonprofit social venture that provides literacy experiences for thousands of readers each year through inspiring programs and creative capitalization of books.
