Numerical Methods for Stochastic Control Problems in Continuous Time

by Harold J. Kushner

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.

488 pages, Hardcover

First published January 1, 1992