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Numerical Methods for Stochastic Control Problems in Continuous Time
Language
English
English
Book
Hardback
Essentially all that is required of the approximations are some natural local consistency conditions...
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Libristo code: 01384274
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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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About the book
Full name
Numerical Methods for Stochastic Control Problems in Continuous Time
Author
Harold J. Kushner, Paul G. Dupuis
Language
English
English
Binding
Book - Hardback
Date of issue
2000
Number of pages
476
EAN
9780387951393
ISBN
0387951393
Libristo code
01384274
Publishers
Springer-Verlag New York Inc.
Weight
868
Dimensions
175 x 246 x 36
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