Numerical Methods for Controlled Stochastic Delay Systems
Birkh?user Boston | 2008-08-25 | ISBN: 0817645349 | 282 pages | PDF | 3,3 MB
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 numerical approximations and in the convergence proofs. Useful forms of numerical algorithms and system approximations are developed in this work, and the convergence proofs are given. All of the usual cost functions are treated as well as singular and impulsive controls.