Numerical Methods For Stochastic Control
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This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous.
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This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous.
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