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Review of Continuous Time Models

  • Harold J. Kushner
  • Paul Dupuis
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 24)

Abstract

In this book we will consider methods for numerically computing the value function for certain classes of controlled continuous time stochastic and deterministic processes. The purpose of the present chapter is to provide an introduction to and some of the background material for controlled diffusions and controlled jump diffusions. These types of processes include many of the models that are commonly used. This section is only intended to serve as a review of the main ideas and for purposes of reference. Other models (e.g., singularly controlled diffusions) that are also of interest will be introduced and elaborated on in the appropriate later sections of the book.

Keywords

Probability Space Stochastic Differential Equation Sample Path Wiener Process Weak Sense 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Harold J. Kushner
    • 1
  • Paul Dupuis
    • 1
  1. 1.Division of Applied MathematicsBrown UniversityProvidenceUSA

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