Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Hardcover - 2001, 15 December 2000

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.