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Numerical Methods for Stochastic Control Problems in Continuous Time

Jezik AngleščinaAngleščina
Knjiga Trda
Knjiga Numerical Methods for Stochastic Control Problems in Continuous Time Harold J. Kushner
Koda Libristo: 01384274
Založba Springer-Verlag New York Inc., december 2000
Essentially all that is required of the approximations are some natural local consistency conditions... Celoten opis
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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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O knjigi

Polni naslov Numerical Methods for Stochastic Control Problems in Continuous Time
Avtor Harold J. Kushner, Paul G. Dupuis
Jezik Angleščina
Vezava Knjiga - Trda
Datum izida 2000
Število strani 476
EAN 9780387951393
ISBN 0387951393
Koda Libristo 01384274
Založba Springer-Verlag New York Inc.
Teža 868
Mere 175 x 246 x 36

Kategorije

Reference, Information & Interdisciplinary subjects > Research & information: general > Information theory > Cybernetics & systems theory
Mathematics & Science > Mathematics > Calculus & mathematical analysis > Calculus of variations
Mathematics & Science > Mathematics > Applied mathematics > Stochastics
Mathematics & Science > Mathematics > Probability & statistics
Mathematics & Science > Mathematics > Optimization
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