Titlebook: Numerical Methods for Stochastic Control Problems in Continuous Time; Harold J. Kushner,Paul Dupuis Textbook 2001Latest edition Springer S

slipped-disk

Computational Methods for Controlled Markov Chains,d value function for the approximating Markov chain models. We concentrate on methods for problems which are of interest over a potentially unbounded time interval. Numerical methods for the ergodic problem will be discussed in Chapter 7, and are simple modifications of the ideas of this chapter. So

Oration