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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Detalles Bibliográficos
Autor principal: Kushner, Harold J
Lenguaje:eng
Publicado: Birkhäuser 2008
Materias:
Mathematical Physics and Mathematics
Acceso en línea:https://dx.doi.org/10.1007/978-0-8176-4621-9
http://cds.cern.ch/record/1093383
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author Kushner, Harold J
author_facet Kushner, Harold J
author_sort Kushner, Harold J
collection CERN
description 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 for diffusion and reflected diffusion models
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institution Organización Europea para la Investigación Nuclear
language eng
publishDate 2008
publisher Birkhäuser
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spelling cern-10933832021-04-22T01:50:28Zdoi:10.1007/978-0-8176-4621-9http://cds.cern.ch/record/1093383engKushner, Harold JNumerical Methods for Controlled Stochastic Delay SystemsMathematical Physics and MathematicsThe 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 for diffusion and reflected diffusion modelsBirkhäuseroai:cds.cern.ch:10933832008
spellingShingle Mathematical Physics and Mathematics
Kushner, Harold J
Numerical Methods for Controlled Stochastic Delay Systems
title Numerical Methods for Controlled Stochastic Delay Systems
title_full Numerical Methods for Controlled Stochastic Delay Systems
title_fullStr Numerical Methods for Controlled Stochastic Delay Systems
title_full_unstemmed Numerical Methods for Controlled Stochastic Delay Systems
title_short Numerical Methods for Controlled Stochastic Delay Systems
title_sort numerical methods for controlled stochastic delay systems
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-0-8176-4621-9
http://cds.cern.ch/record/1093383
work_keys_str_mv AT kushnerharoldj numericalmethodsforcontrolledstochasticdelaysystems

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