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Book synopsis

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.§

Book details

Book category Books in English Reference, information & interdisciplinary subjects Research & information: general Information theory

• Full title: Numerical Methods for Stochastic Control Problems in Continuous Time
• Author: Harold J. Kushner, Paul G. Dupuis
• Language: English
• Binding: Hardback
• Number of pages: 476
• EAN: 9780387951393
• ISBN: 0387951393
• ID: 01384274
• Publisher: Springer-Verlag New York Inc.
• Weight: 868 g
• Dimensions: 246 × 175 × 36 mm
• Date of publishing: 15. December 2000

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