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Numerical Methods for Stochastic Control Problems in Continuous Time

Numerical Methods for Stochastic Control Problems in Continuous Time - Applications of Mathematics

Book (01 Jan 1992)

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    Publisher's Synopsis

    Process models used are diffusions, jump-diffusions, or reflected diffusions of the type that occur in the majority of current applications. The required background in stochastic processes is surveyed, followed by extensive development of methods of approximation and a chapter devoted to computational techniques. The book is written on two levels,

    Book information

    ISBN: 9780387978345
    Publisher: Springer-Verlag
    Imprint: Springer-Verlag
    Pub date:
    DEWEY: 003.76
    DEWEY edition: 20
    Language: English
    Number of pages: 439
    Weight: -1g

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