Book2008

Numerical Methods for Controlled Stochastic Delay Systems

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Stochastic processes and financial applications Stability and Control of Uncertain Systems Numerical methods for differential equations

Abstract

The Markov chain approximation methods are used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. It surveys properties of various stochastic dynamical models, including singular control, and those for diffusion and reflected diffusion models

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