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Numerical Methods for Stochastic Control Problems in Continuous Time

Numerical Methods for Stochastic Control Problems in Continuous Time

Hardcover

Series: Stochastic Modelling and Applied Probability, Book 24

Medical ReferenceGeneral MathematicsProbability & Statistics

ISBN10: 0387951393
ISBN13: 9780387951393
Publisher: Springer Nature
Published: Dec 15 2000
Pages: 476
Weight: 1.81
Height: 1.11 Width: 6.45 Depth: 9.52
Language: English
Stochastic control is a very active area of research and this monograph written by two leading authorities in the field has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice (algorithms and applications) and that of the mathematical development. It is broadly accessible for graduate students and researchers.

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