Numerical Methods for Stochastic Control Problems in Continuous Time
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Published By Springer US

9781468404432, 9781468404418

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The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_15 ◽

1992 ◽

pp. 411-421

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Viscosity Solution ◽

Numerical Schemes ◽

Solution Approach

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Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_12 ◽

1992 ◽

pp. 303-323

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Singular Control ◽

Reflecting Boundaries ◽

Ergodic Cost

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Weak Convergence and the Characterization of Processes

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_10 ◽

1992 ◽

pp. 247-267

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Weak Convergence

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Controlled Markov Chains

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_3 ◽

1992 ◽

pp. 35-51

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Markov Chains ◽

Controlled Markov Chains

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Construction of the Approximating Markov Chain

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_6 ◽

1992 ◽

pp. 89-149

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Markov Chain

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Problems from the Calculus of Variations

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_14 ◽

1992 ◽

pp. 347-410

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Calculus Of Variations

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Finite Time Problems and Nonlinear Filtering

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_13 ◽

1992 ◽

pp. 325-345

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Finite Time ◽

Nonlinear Filtering

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Introduction

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_1 ◽

1992 ◽

pp. 1-5 ◽

Cited By ~ 1

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

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Review of Continuous Time Models

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_2 ◽

1992 ◽

pp. 7-33

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Continuous Time ◽

Continuous Time Models

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Computational Methods for Controlled Markov Chains

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_7 ◽

1992 ◽

pp. 151-192

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Markov Chains ◽

Computational Methods ◽

Controlled Markov Chains

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Numerical Methods for Stochastic Control Problems in Continuous TimeLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer US

The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems

Weak Convergence and the Characterization of Processes

Controlled Markov Chains

Construction of the Approximating Markov Chain

Problems from the Calculus of Variations

Finite Time Problems and Nonlinear Filtering

Introduction

Review of Continuous Time Models

Computational Methods for Controlled Markov Chains

Numerical Methods for Stochastic Control Problems in Continuous Time
Latest Publications