Related Books
Language: en
Pages: 33
Pages: 33
Type: BOOK - Published: 1975 - Publisher:
The paper treats a computational method for the Optimal Stopping and Stochastic Impulsive Control problem for a diffusion. In the latter problem control acts on
Language: en
Pages: 436
Pages: 436
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media
This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or unc
Language: en
Pages: 45
Pages: 45
Type: BOOK - Published: 1975 - Publisher:
Stochastic control problems of either the optimal stopping or impulsive control type on diffusion models are considered, but there is also a continuously acting
Language: en
Pages: 263
Pages: 263
Type: BOOK - Published: 1977-04-14 - Publisher: Academic Press
Probability Methods for Approximations in Stochastic Control and for Elliptic Equations
Language: en
Pages: 295
Pages: 295
Type: BOOK - Published: 2008-12-19 - Publisher: Springer Science & Business Media
The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends