The paper treats a computational method for the Optimal Stopping and Stochastic Impulsive Control problem for a diffusion. In the latter problem control acts on
This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or unc
Stochastic control problems of either the optimal stopping or impulsive control type on diffusion models are considered, but there is also a continuously acting
The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends