Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability
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Published By Springer New York

9781461265313, 9781461300076

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Dynamic Programming Equations

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_4 ◽

2001 ◽

pp. 53-66 ◽

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Dynamic Programming ◽

Dynamic Programming Equations

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Review of Continuous Time Models

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_2 ◽

2001 ◽

pp. 7-34

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Continuous Time ◽

Continuous Time Models

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The Markov Chain Approximation Method: Introduction

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_5 ◽

2001 ◽

pp. 67-88

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Markov Chain ◽

Approximation Method ◽

Markov Chain Approximation ◽

Chain Approximation

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Problems from the Calculus of Variations: Finite Time Horizon

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_15 ◽

2001 ◽

pp. 367-400

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Calculus Of Variations ◽

Finite Time ◽

Time Horizon ◽

Finite Time Horizon

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Controlled Variance and Jumps

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_14 ◽

2001 ◽

pp. 347-366

Author(s):

Harold J. Kushner ◽

Paul Dupuis

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Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_12 ◽

2001 ◽

pp. 301-323

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Singular Control ◽

Reflecting Boundaries ◽

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Computational Methods for Controlled Markov Chains

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_7 ◽

2001 ◽

pp. 153-189

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Markov Chains ◽

Computational Methods ◽

Controlled Markov Chains

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Construction of the Approximating Markov Chain

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_6 ◽

2001 ◽

pp. 89-151

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Download Full-text

The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_17 ◽

2001 ◽

pp. 443-453

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Viscosity Solution ◽

Numerical Schemes ◽

Solution Approach

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Convergence Proofs

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_11 ◽

2001 ◽

pp. 267-299

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Convergence Proofs

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