Numerical Methods for Stochastic Control Problems in Continuous Time
Innbundet /
2000
/ Engelsk
Produktdetaljer
ISBN
9780387951393
Publisert
2000-12-15
Utgave
2. utgave
Utgiver
Springer-Verlag New York Inc.
Høyde
235 mm
Bredde
155 mm
Aldersnivå
Research, UU, UP, P, 05, 06
Språk
Product language
Engelsk
Format
Product format
Innbundet
Antall sider
12
"The second edition of this acclaimed book from Springer-Verlag has the latest theoretical and practical information on solving stochastic control problems. Including proofs and algorithms using diffusion, jump-diffusion, and other process models, the authors help make randomness a little less scary." Amazon.com Delivers Mathematics and Statistics e-bulletin, July 2001
This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous.
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2nd edition
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Les mer
Produktdetaljer
ISBN
9780387951393
Publisert
2000-12-15
Utgave
2. utgave
Utgiver
Springer-Verlag New York Inc.
Høyde
235 mm
Bredde
155 mm
Aldersnivå
Research, UU, UP, P, 05, 06
Språk
Product language
Engelsk
Format
Product format
Innbundet
Antall sider
12