Numerical Methods for Stochastic Control Problems in Continuous Time

Authors:

ISBN: 978-1-4612-6531-3 (Print) 978-1-4613-0007-6 (Online)

Table of contents (17 chapters)

  1. Front Matter

    Pages i-xii

  2. No Access

    Chapter

    Pages 1-6

    Introduction

  3. No Access

    Chapter

    Pages 7-34

    Review of Continuous Time Models

  4. No Access

    Chapter

    Pages 35-52

    Controlled Markov Chains

  5. No Access

    Chapter

    Pages 53-66

    Dynamic Programming Equations

  6. No Access

    Chapter

    Pages 67-88

    The Markov Chain Approximation Method: Introduction

  7. No Access

    Chapter

    Pages 89-151

    Construction of the Approximating Markov Chain

  8. No Access

    Chapter

    Pages 153-189

    Computational Methods for Controlled Markov Chains

  9. No Access

    Chapter

    Pages 191-214

    The Ergodic Cost Problem: Formulation and Algorithms

  10. No Access

    Chapter

    Pages 215-244

    Heavy Traffic and Singular Control Problems: Examples and Markov Chain Approximations

  11. No Access

    Chapter

    Pages 245-265

    Weak Convergence and the Characterization of Processes

  12. No Access

    Chapter

    Pages 267-299

    Convergence Proofs

  13. No Access

    Chapter

    Pages 301-323

    Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems

  14. No Access

    Chapter

    Pages 325-345

    Finite Time Problems and Nonlinear Filtering

  15. No Access

    Chapter

    Pages 347-366

    Controlled Variance and Jumps

  16. No Access

    Chapter

    Pages 367-400

    Problems from the Calculus of Variations: Finite Time Horizon

  17. No Access

    Chapter

    Pages 401-442

    Problems from the Calculus of Variations: Infinite Time Horizon

  18. No Access

    Chapter

    Pages 443-453

    The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

  19. Back Matter

    Pages 455-476