Discrete approximations of controlled stochastic systems with memory: a survey

DOI10.1080/07362994.2012.684327MaRDI QIDQ2905360zbMATH OpenOpenAlexFDO

Authors Mou-Hsiung Chang

Publication date 27 August 2012

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2012.684327

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

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• scientific article; zbMATH DE number 3936125 (Why is no real title available?)
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• Discretisation of stochastic control problems for continuous time dynamics with delay
• Finite Difference Approximations for Stochastic Control Systems with Delay
• Finite difference approximation for stochastic optimal stopping problems with delays
• Introduction to functional differential equations
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• OPTIMAL STOPPING WITH DELAYED INFORMATION
• Optimal control of stochastic functional differential equations with a bounded memory
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• Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay

Cited in

(1)

• Stochastic control of memory mean-field processes

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