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Numerical Methods for Stochastic Control Problems in Continuous Time

reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that;

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Advanced Topics in Control and Estimation of State-Multiplicative Noisy Systems

measurement-feedback control for these systems, for both the continuous- and the discrete-time settings. In the continuous-time domain, the problems;

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Monte-carlo Methods and Stochastic Processes

focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear;

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Monte-Carlo Methods and Stochastic Processes

focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear;

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Modern Trends in Controlled Stochastic Processes:

This book presents state-of-the-art solution methods and applications of stochastic optimal control. It is a collection of extended papers;

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Numerical Methods for Stochastic Computations

The@ first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes;

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Stochastic Control of Partially Observable Systems

The problem of stochastic control of partially observable systems plays an important role in many applications. All real problems are;

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Advanced Mathematical Tools for Automatic Control Engineers: Volume 2

Advanced Mathematical Tools for Automatic Control Engineers, Volume 2: Stochastic Techniques provides comprehensive discussions on;

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Numerical Methods For Stochastic Processes

Stochastic models deal with mathematical expectations (the probability of events, variance, etc). This study deals with the calculation;

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Controlled Markov Processes and Viscosity Solutions

This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It;

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Controlled Markov Processes and Viscosity Solutions

This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It;

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Stochastic Processes in Cell Biology

This book develops the theory of continuous and discrete stochastic processes within the context of cell biology. A wide range;

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Stochastic Dynamic Programming And The Control Of Queueing Systems

wealth of examples from the application area of the control of queueing systems is presented. Nine numerical programs for the computation;

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Modeling, Analysis, Design and Control of Stochastic Systems

An introductory level text on stochastic modelling, suited for undergraduates or graduates in actuarial science, business management;

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Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes

introduces the development of numerical techniques for optimal control problems such as stopping and impulse control problems.;

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Natural Resource Economics

species, pest control and the optimal management of antibiotic resistance. Deterministic and stochastic models in both discrete and continuous;

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Natural Resource Economics

species, pest control and the optimal management of antibiotic resistance. Deterministic and stochastic models in both discrete and continuous;

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Controlled Markov Processes and Viscosity Solutions

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity;

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Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical;

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Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients

stochastic processes. Using this approach, the authors establish moment bounds for fully and partially drift-implicit Euler methods and for a class;

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Stochastic Dynamics and Control

This book is a result of many years of author's research and teaching on random vibration and control. It was used as lecture notes for a;

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Exact Finite-Difference Schemes

transport problems. After this, applications are discussed, such as the discretisation of ODEs and PDEs and numerical methods for stochastic;

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Parameter Estimation in Stochastic Volatility Models

well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory;

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Stochastic Cauchy Problems in Infinite Dimensions

Stochastic Cauchy Problems in Infinite Dimensions: Generalized and Regularized Solutions presents stochastic differential equations for;

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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step;

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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step;

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Optimal Design of Control Systems: Stochastic and Deterministic Problems (Pure and Applied Mathematics

"Covers design methods for optimal (or quasioptimal) control algorithms in the form of synthesis for deterministic and stochastic dynamical;

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