Numerical Methods for Stochastic Control Problems in Continuous Time:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer New York
2001
|
| Ausgabe: | Second Edition |
| Schriftenreihe: | Stochastic Modelling and Applied Probability
24 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XII, 476 p) |
| ISBN: | 9781461300076 9781461265313 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-1-4613-0007-6 |
Internformat
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Datensatz im Suchindex
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| any_adam_object | |
| author | Kushner, Harold J. 1933- Dupuis, Paul |
| author_GND | (DE-588)11559163X (DE-588)171353714 |
| author_facet | Kushner, Harold J. 1933- Dupuis, Paul |
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| author_sort | Kushner, Harold J. 1933- |
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| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4613-0007-6 |
| edition | Second Edition |
| format | Electronic eBook |
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| id | DE-604.BV042420518 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:07Z |
| institution | BVB |
| isbn | 9781461300076 9781461265313 |
| issn | 0172-4568 |
| language | English |
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| series2 | Stochastic Modelling and Applied Probability |
| spelling | Kushner, Harold J. 1933- (DE-588)11559163X aut Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner, Paul Dupuis Second Edition New York, NY Springer New York 2001 1 Online-Ressource (XII, 476 p) txt rdacontent c rdamedia cr rdacarrier Stochastic Modelling and Applied Probability 24 0172-4568 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 Mathematics Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Calculus of Variations and Optimal Control; Optimization Systems Theory, Control Mathematik Numerische Mathematik (DE-588)4042805-9 gnd rswk-swf Numerisches Verfahren (DE-588)4128130-5 gnd rswk-swf Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Stochastische Kontrolltheorie (DE-588)4263657-7 s Numerisches Verfahren (DE-588)4128130-5 s 1\p DE-604 Numerische Mathematik (DE-588)4042805-9 s 2\p DE-604 Dupuis, Paul (DE-588)171353714 aut https://doi.org/10.1007/978-1-4613-0007-6 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Kushner, Harold J. 1933- Dupuis, Paul Numerical Methods for Stochastic Control Problems in Continuous Time Mathematics Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Calculus of Variations and Optimal Control; Optimization Systems Theory, Control Mathematik Numerische Mathematik (DE-588)4042805-9 gnd Numerisches Verfahren (DE-588)4128130-5 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd |
| subject_GND | (DE-588)4042805-9 (DE-588)4128130-5 (DE-588)4263657-7 |
| title | Numerical Methods for Stochastic Control Problems in Continuous Time |
| title_auth | Numerical Methods for Stochastic Control Problems in Continuous Time |
| title_exact_search | Numerical Methods for Stochastic Control Problems in Continuous Time |
| title_full | Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner, Paul Dupuis |
| title_fullStr | Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner, Paul Dupuis |
| title_full_unstemmed | Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner, Paul Dupuis |
| title_short | Numerical Methods for Stochastic Control Problems in Continuous Time |
| title_sort | numerical methods for stochastic control problems in continuous time |
| topic | Mathematics Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Calculus of Variations and Optimal Control; Optimization Systems Theory, Control Mathematik Numerische Mathematik (DE-588)4042805-9 gnd Numerisches Verfahren (DE-588)4128130-5 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd |
| topic_facet | Mathematics Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Calculus of Variations and Optimal Control; Optimization Systems Theory, Control Mathematik Numerische Mathematik Numerisches Verfahren Stochastische Kontrolltheorie |
| url | https://doi.org/10.1007/978-1-4613-0007-6 |
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