Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey

DOI10.1080/07362994.2012.684327zbMath1246.93124OpenAlexW2000343392MaRDI QIDQ2905360

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

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

Cites Work

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• Finite difference approximation for stochastic optimal stopping problems with delays
• Introduction to functional differential equations
• Nonlinear Filtering for Markov Systems with Delayed Observations
• Approximation of Nonlinear Filters for Markov Systems with Delayed Observations
• Finite Difference Approximations for Stochastic Control Systems with Delay
• Discrete approximation of nonlinear filtering for stochastic delay equations
• Optimal control of stochastic functional differential equations with a bounded memory
• OPTIMAL STOPPING WITH DELAYED INFORMATION

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