Zum Hauptinhalt springen Zur Suche springen Zur Hauptnavigation springen
Haben Sie Fragen? Einfach anrufen, wir helfen gerne: Tel. 089/210233-0
oder besuchen Sie unser Ladengeschäft in der Pacellistraße 5 (Maxburg) 80333 München
+++ Versandkostenfreie Lieferung innerhalb Deutschlands
Haben Sie Fragen? Tel. 089/210233-0

Numerical Methods for Stochastic Control Problems in Continuous Time

139,09 €*

Versandkostenfrei

Produktnummer: 18ce32f407040a47988f993137ff7a94af
Autor: Dupuis, Paul G. Kushner, Harold
Themengebiete: Calculus of Variations Markov chain Stochastic processes Variance algorithms filtering problem stochastic process
Veröffentlichungsdatum: 15.12.2000
EAN: 9780387951393
Auflage: 2
Sprache: Englisch
Seitenzahl: 476
Produktart: Gebunden
Verlag: Springer US
Produktinformationen "Numerical Methods for Stochastic Control Problems in Continuous Time"
Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new problem formulations and sometimes surprising applications appear regu larly. We have chosen forms of the models which cover the great bulk of the formulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. 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. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types.
Bücherregal gefüllt mit juristischen Werken

Sie möchten lieber vor Ort einkaufen?

Sie haben Fragen zu diesem oder anderen Produkten oder möchten einfach gerne analog im Laden stöbern? Wir sind gerne für Sie da und beraten Sie auch telefonisch.

Juristische Fachbuchhandlung
Georg Blendl

Parcellistraße 5 (Maxburg)
8033 München

Montag - Freitag: 8:15 -18 Uhr
Samstags geschlossen