Numerical Methods for Stochastic Control Problems in Continuous Time

Stochastic control is a very active area of research and 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 (algorithms and applications) and that of the mathematical development. It is broadly accessible for graduate students and researchers.

Author: Harold Kushner,Paul G. Dupuis
Publisher: Springer
Published: 12/15/2000
Pages: 476
Binding Type: Hardcover
Weight: 1.81lbs
Size: 9.52h x 6.45w x 1.11d
ISBN: 9780387951393