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Numerical Methods for Stochastic Control Problems in Continuous Time
Overview of attention for book
Table of Contents
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Book Overview
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Chapter 1
Introduction
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Chapter 2
Review of Continuous Time Models
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Chapter 3
Controlled Markov Chains
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Chapter 4
Dynamic Programming Equations
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Chapter 5
The Markov Chain Approximation Method: Introduction
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Chapter 6
Construction of the Approximating Markov Chain
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Chapter 7
Computational Methods for Controlled Markov Chains
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Chapter 8
The Ergodic Cost Problem: Formulation and Algorithms
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Chapter 9
Heavy Traffic and Singular Control Problems: Examples and Markov Chain Approximations
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Chapter 10
Weak Convergence and the Characterization of Processes
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Chapter 11
Convergence Proofs
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Chapter 12
Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems
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Chapter 13
Finite Time Problems and Nonlinear Filtering
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Chapter 14
Problems from the Calculus of Variations
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Chapter 15
The Viscosity Solution Approach to Proving Convergence of Numerical Schemes
Overall attention for this book and its chapters
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syllabi
1
institution with syllabi
Citations
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582
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Book overview
1. Introduction
2. Review of Continuous Time Models
3. Controlled Markov Chains
4. Dynamic Programming Equations
5. The Markov Chain Approximation Method: Introduction
6. Construction of the Approximating Markov Chain
7. Computational Methods for Controlled Markov Chains
8. The Ergodic Cost Problem: Formulation and Algorithms
9. Heavy Traffic and Singular Control Problems: Examples and Markov Chain Approximations
10. Weak Convergence and the Characterization of Processes
11. Convergence Proofs
12. Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems
13. Finite Time Problems and Nonlinear Filtering
14. Problems from the Calculus of Variations
15. The Viscosity Solution Approach to Proving Convergence of Numerical Schemes
Summary
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Syllabi
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This data is correct as of December 2015 - for more up to date information, please visit
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So far, Altmetric has seen this research output assigned in
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syllabus from an institution on Open Syllabus Project.
Institution
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Course subject areas covered
University of Queensland
1
Unknown