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
Clasificación:Libro Electrónico
Autor principal: Kushner, Harold J. (Harold Joseph), 1933- (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boston : Birkhäuser, ©2008.
Colección:Systems & control.
Temas:
Stochastic systems.
Systèmes stochastiques.
SCIENCE > System Theory.
Stochastic systems
Statistisk metod.
Stochastische Differentialgleichung mit Gedächtnis > Stochastische Kontrolltheorie > Numerisches Verfahren > Markov-Kette.
Stochastische Kontrolltheorie > Stochastische Differentialgleichung mit Gedächtnis > Numerisches Verfahren > Markov-Kette.
Markov-Kette > Stochastische Kontrolltheorie > Numerisches Verfahren > Stochastische Differentialgleichung mit Gedächtnis.
Acceso en línea:Texto completo
Descripción
Sumario: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.
Descripción Física:1 online resource (xix, 281 pages) : illustrations
Bibliografía:Includes bibliographical references (pages 267-271) and indexes.
ISBN:9780817646219
0817646213
9780817645342
0817645349
6611954554
9786611954550

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