Numerical Methods for Controlled Stochastic Delay Systems
| Autor: | Harold Kushner |
|---|---|
| EAN: | 9780817646219 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 19.12.2008 |
| Kategorie: | |
| Schlagworte: | Ergodic theory Markov Markov chain approximation methods Minimum Transformation algorithms convergence proofs differential equation numerical algorithms numerical methods reflected or stopped diffusion stochastic control stochastic delay |
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The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. The book is the first on the subject and will be of great interest to all those who work with stochastic delay equations and whose main interest is either in the use of the algorithms or in the mathematics. An excellent resource for graduate students, researchers, and practitioners, the work may be used as a graduate-level textbook for a special topics course or seminar on numerical methods in stochastic control.
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