Numerical methods for controlled stochastic delay systems

著者

• Kushner, Harold J. (Harold Joseph)

書誌事項

Numerical methods for controlled stochastic delay systems

Harold J. Kushner

（Systems & control）

Birkhäuser, c2008

注記

Includes bibliographical references (p. [267]-271) and indexes

内容説明・目次

内容説明

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.

目次

Preface Examples and Introduction Weak Convergence and Martingales Stochastic Delay Equations: Models Approximations to the Dynamical Models The Ergodic Cost Problem Markov Chain Approximations: Introduction Markov Chain Approximations: Path and Control Delayed Path and Control Delayed: Continued A Wave Equation Approach References Index Symbol Index

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA87334111
• ISBN:
  • 9780817645342
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Boston
• ページ数/冊数: xix, 281 p.
• 大きさ: 25 cm
• 分類:
  • SG : 510
• 親書誌ID:
  • BA07692970