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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 Dupuis

ARI Id

1665069765807_4701475

Access

Not Available Free

Pages

67-88

DOI

10.1007/978-1-4613-0007-6_5

Chapter URL

https://rd.springer.com/chapter/10.1007/978-1-4613-0007-6_5

Table of Contents of Book
Showing 1 to 19 of 19 entries
Chapters/HeadingsAuthor(s)PagesInfo
Front Matter
i-xii
Introduction
Harold J. Kushner; Paul Dupuis
1-6
Review of Continuous Time Models
Harold J. Kushner; Paul Dupuis
7-34
Controlled Markov Chains
Harold J. Kushner; Paul Dupuis
35-52
Dynamic Programming Equations
Harold J. Kushner; Paul Dupuis
53-66
The Markov Chain Approximation Method: Introduction
Harold J. Kushner; Paul Dupuis
67-88
Construction of the Approximating Markov Chain
Harold J. Kushner; Paul Dupuis
89-151
Computational Methods for Controlled Markov Chains
Harold J. Kushner; Paul Dupuis
153-189
The Ergodic Cost Problem: Formulation and Algorithms
Harold J. Kushner; Paul Dupuis
191-214
Heavy Traffic and Singular Control Problems: Examples and Markov Chain Approximations
Harold J. Kushner; Paul Dupuis
215-244
Weak Convergence and the Characterization of Processes
Harold J. Kushner; Paul Dupuis
245-265
Convergence Proofs
Harold J. Kushner; Paul Dupuis
267-299
Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems
Harold J. Kushner; Paul Dupuis
301-323
Finite Time Problems and Nonlinear Filtering
Harold J. Kushner; Paul Dupuis
325-345
Controlled Variance and Jumps
Harold J. Kushner; Paul Dupuis
347-366
Problems from the Calculus of Variations: Finite Time Horizon
Harold J. Kushner; Paul Dupuis
367-400
Problems from the Calculus of Variations: Infinite Time Horizon
Harold J. Kushner; Paul Dupuis
401-442
The Viscosity Solution Approach to Proving Convergence of Numerical Schemes
Harold J. Kushner; Paul Dupuis
443-453
Back Matter
455-476
Chapters/HeadingsAuthor(s)PagesInfo
Showing 1 to 19 of 19 entries
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