Harold Kushner
Numerical Methods for Controlled Stochastic Delay Systems
Gebonden Engels 2008 2008e druk 9780817645342
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9780817645342
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:282
Uitgever:Birkhäuser Boston
Druk:2008
Hoofdrubriek:Automatisering algemeen, Computer en informatica
Lezersrecensies
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Inhoudsopgave
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
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
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