Numerical Methods for Stochastic Control Problems in Continuous Time:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
New York, NY
Springer US
1992
|
| Series: | Applications of Mathematics, Stochastic Modelling and Applied Probability
24 |
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | 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 prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations 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. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth |
| Physical Description: | 1 Online-Ressource (X, 439p. 40 illus) |
| ISBN: | 9781468404418 9781468404432 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-1-4684-0441-8 |
Staff View
MARC
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:08Z |
| institution | BVB |
| isbn | 9781468404418 9781468404432 |
| issn | 0172-4568 |
| language | English |
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| series2 | Applications of Mathematics, Stochastic Modelling and Applied Probability |
| spelling | Kushner, Harold J. Verfasser aut Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner, Paul G. Dupuis New York, NY Springer US 1992 1 Online-Ressource (X, 439p. 40 illus) txt rdacontent c rdamedia cr rdacarrier Applications of Mathematics, Stochastic Modelling and Applied Probability 24 0172-4568 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 prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations 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. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth Mathematics Systems theory Numerical analysis Mathematical optimization Distribution (Probability theory) Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Probability Theory and Stochastic Processes Numerical Analysis Mathematik Numerisches Verfahren (DE-588)4128130-5 gnd rswk-swf Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Numerische Mathematik (DE-588)4042805-9 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 G. Sonstige oth https://doi.org/10.1007/978-1-4684-0441-8 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. Numerical Methods for Stochastic Control Problems in Continuous Time Mathematics Systems theory Numerical analysis Mathematical optimization Distribution (Probability theory) Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Probability Theory and Stochastic Processes Numerical Analysis Mathematik Numerisches Verfahren (DE-588)4128130-5 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Numerische Mathematik (DE-588)4042805-9 gnd |
| subject_GND | (DE-588)4128130-5 (DE-588)4263657-7 (DE-588)4042805-9 |
| 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 G. Dupuis |
| title_fullStr | Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner, Paul G. Dupuis |
| title_full_unstemmed | Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner, Paul G. 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 Numerical analysis Mathematical optimization Distribution (Probability theory) Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Probability Theory and Stochastic Processes Numerical Analysis Mathematik Numerisches Verfahren (DE-588)4128130-5 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Numerische Mathematik (DE-588)4042805-9 gnd |
| topic_facet | Mathematics Systems theory Numerical analysis Mathematical optimization Distribution (Probability theory) Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Probability Theory and Stochastic Processes Numerical Analysis Mathematik Numerisches Verfahren Stochastische Kontrolltheorie Numerische Mathematik |
| url | https://doi.org/10.1007/978-1-4684-0441-8 |
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