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Home > Numerical Methods for Stochastic Control Problems in Continuous Time > The Markov Chain Approximation Method: Introduction
Numerical Methods for Stochastic Control Problems in Continuous Time |
Harold Kushner; Paul G. Dupuis
Springer New York
Numerical Methods for Stochastic Control Problems in Continuous Time
The Markov Chain Approximation Method: Introduction
Authors

Harold J. Kushner; Paul G. Dupuis

ARI Id

1664561076616_2209404

Access

Not Available Free

Pages

67-88

DOI

10.1007/978-1-4684-0441-8_5

Chapter URL

https://rd.springer.com/chapter/10.1007/978-1-4684-0441-8_5

Table of Contents of Book
Showing 1 to 17 of 17 entries
Chapters/HeadingsAuthor(s)PagesInfo
Front Matter
i-ix
Introduction
Harold J. Kushner; Paul G. Dupuis
1-5
Review of Continuous Time Models
Harold J. Kushner; Paul G. Dupuis
7-33
Controlled Markov Chains
Harold J. Kushner; Paul G. Dupuis
35-51
Dynamic Programming Equations
Harold J. Kushner; Paul G. Dupuis
53-65
The Markov Chain Approximation Method: Introduction
Harold J. Kushner; Paul G. Dupuis
67-88
Construction of the Approximating Markov Chain
Harold J. Kushner; Paul G. Dupuis
89-149
Computational Methods for Controlled Markov Chains
Harold J. Kushner; Paul G. Dupuis
151-192
The Ergodic Cost Problem: Formulation and Algorithms
Harold J. Kushner; Paul G. Dupuis
193-216
Heavy Traffic and Singular Control Problems: Examples and Markov Chain Approximations
Harold J. Kushner; Paul G. Dupuis
217-245
Weak Convergence and the Characterization of Processes
Harold J. Kushner; Paul G. Dupuis
247-267
Convergence Proofs
Harold J. Kushner; Paul G. Dupuis
269-301
Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems
Harold J. Kushner; Paul G. Dupuis
303-323
Finite Time Problems and Nonlinear Filtering
Harold J. Kushner; Paul G. Dupuis
325-345
Problems from the Calculus of Variations
Harold J. Kushner; Paul G. Dupuis
347-410
The Viscosity Solution Approach to Proving Convergence of Numerical Schemes
Harold J. Kushner; Paul G. Dupuis
411-421
Back Matter
423-439
Chapters/HeadingsAuthor(s)PagesInfo
Showing 1 to 17 of 17 entries
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