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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, Optimal stochastic control
65K10, Numerical analysis, Numerical optimization and variational techniques
90C39, Mathematical programming, Dynamic programming
65C40, Probabilistic methods, stochastic differential equations, Numerical analysis or methods applied to Markov chains
93-08, Computational methods for problems pertaining to systems and control theory
En-ligne : Springerlink - ed. 2001
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Bibliogr. p. 423-431. Index

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