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Numerical Methods for Controlled Stochastic Delay Systems
The Markov chain approximation methods are used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. It surveys properties of various stochastic dynamical models, including singular control, and those...
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| Lenguaje: | eng |
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Birkhäuser
2008
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| Acceso en línea: | https://dx.doi.org/10.1007/978-0-8176-4621-9 http://cds.cern.ch/record/1093383 |