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Numerical Methods for Stochastic Control Problems in Continuous Time (Paperback, 2nd ed. 2001. Softcover reprint of the original 2nd ed. 2001)
Loot Price: R2,734
Discovery Miles 27 340
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Numerical Methods for Stochastic Control Problems in Continuous Time (Paperback, 2nd ed. 2001. Softcover reprint of the original 2nd ed. 2001)
Series: Stochastic Modelling and Applied Probability, 24
Expected to ship within 10 - 15 working days
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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."
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