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Numerical methods for stochastic control problems in continuous time / Harold J. Kushner, Paul G. Dupuis

Auteur principal : Kushner, Harold Joseph, 1933-, AuteurCo-auteur : Dupuis, Paul G., AuteurType de document : MonographieCollection : Stochastic modelling and applied probability; formerly: Applications of mathematics, 24Langue : anglais.Pays : Etats Unis.Éditeur : New York : Springer-Verlag, 1992Description : 1 vol. (ix-439 p.) : ill. ; 25 cmISBN : 9783540978343.ISSN : 0172-4568.Bibliographie : Bibliogr. p. 423-431. Index.Sujet MSC : 93E20, Systems theory; control -- Stochastic systems and control, Optimal stochastic control
65K10, Numerical analysis -- Mathematical programming, optimization and variational techniques, Optimization and variational techniques
90C39, Operations research, mathematical programming -- Mathematical programming, Dynamic programming
65C40, Numerical analysis -- Probabilistic methods, simulation and stochastic differential equations, Computational Markov chains
93E25, Systems theory; control -- Stochastic systems and control, Other computational methods
En-ligne : Springerlink - ed. 2001
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Bibliogr. p. 423-431. Index

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