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 ◽

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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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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 ◽

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

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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):

Download Full-text

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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The Markov Chain Approximation Method: Introduction

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_5 ◽

1992 ◽

pp. 67-88

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Markov Chain ◽

Approximation Method ◽

Markov Chain Approximation ◽

Chain Approximation

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