Numerical Methods for Controlled Stochastic Delay Systems
Seiten
2008
|
2008 ed.
Birkhauser Boston Inc (Verlag)
978-0-8176-4534-2 (ISBN)
Birkhauser Boston Inc (Verlag)
978-0-8176-4534-2 (ISBN)
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. It is the first book on the subject.
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.
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.
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.
| Reihe/Serie | Systems & Control: Foundations & Applications |
|---|---|
| Zusatzinfo | 37 Illustrations, black and white; XX, 282 p. 37 illus. |
| Verlagsort | Secaucus |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Mathematik / Informatik ► Informatik ► Theorie / Studium |
| Mathematik / Informatik ► Mathematik ► Analysis | |
| Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik | |
| Schlagworte | average cost per unit time problems • convergence proofs • ergodic theory • Markov chain approximation methods • nonlinear stochastic control problems • Numerical Algorithms • Numerical Methods • reflected or stopped diffusion • stochastic control • stochastic delay equations • stochastic delay systems • stochastic dynamical models • weak convergence theory |
| ISBN-10 | 0-8176-4534-9 / 0817645349 |
| ISBN-13 | 978-0-8176-4534-2 / 9780817645342 |
| Zustand | Neuware |
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