Review of Continuous Time Models

Abstract

In this book we will consider methods of numerically computing the value function for certain classes of controlled continuous time stochastic and deterministic processes. The purpose of the present chapter is to provide an introduction to and some of the background material for controlled diffusions and controlled jump diffusions. These types of processes include many of the models that are commonly used. This section is only intended to serve as a review of the main ideas and for purposes of reference. Other models (e.g., singularly controlled diffusions) that are also of interest will be introduced and elaborated on in the appropriate later sections of the book.