Numerical Methods for Stochastic Control Problems in Continuous Time

Numerical Methods for Stochastic Control Problems in Continuous Time Kushner Harold ,Dupuis Paul G. Wydawca: Springer-Verlag New York Inc. Data wydania: 2000 ISBN: 9780387951393 Liczba stron: 476 Format: 246 x 175 x 36 Rodzaj oprawy: Hardback Opis produktu: Stochastic control is a very active area of research. 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 and that of mathematical development.