Numerical Methods for Stochastic Control Problems in Continuous Time (2001. Softcover Reprint of the Original 2nd 2001)Paperback - 2001. Softcover Reprint of the Original 2nd 2001, 27 November 2013

Stochastic control is a very active area of research and 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 (algorithms and applications) and that of the mathematical development. It is broadly accessible for graduate students and researchers.