Numerical Methods for Controlled Stochastic Delay Systems

• Main Author: Kushner, Harold J. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston : Birkhäuser Boston, 2008.
• Series: Systems & Control: Foundations & Applications
• Subjects: Mathematics.; Mathematical analysis.; Analysis (Mathematics).; Dynamics.; Ergodic theory.; System theory.; Numerical analysis.; Operations research.; Management science.; Probabilities.; Systems Theory, Control.; Probability Theory and Stochastic Processes.; Analysis.; Numerical Analysis.; Operations Research, Management Science.; Dynamical Systems and Ergodic Theory.

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. Because such problems are infinite-dimensional, many new issues arise in getting good numeri...

Table of Contents:

• 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.