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NUMERICAL METHODS FOR STOCHASTIC CONTROL PROBLEMS IN CONTINU IBD

SPRINGER
01 / 2001
9780387951393
Inglés

Sinopsis

Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.