Discrete approximations of controlled stochastic systems with memory: a survey

DOI10.1080/07362994.2012.684327zbMATH Open1246.93124OpenAlexW2000343392MaRDI QIDQ2905360FDOQ2905360

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

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Mathematics Subject Classification ID

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

Cites Work

• Introduction to functional differential equations
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• Optimal control of stochastic functional differential equations with a bounded memory
• Finite Difference Approximations for Stochastic Control Systems with Delay
• Probability methods for approximations in stochastic control and for elliptic equations
• Controlled nonlinear stochastic delay equations: Part I: Modeling and approximations
• Discretisation of stochastic control problems for continuous time dynamics with delay
• Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• Finite difference approximation for stochastic optimal stopping problems with delays
• Approximation of Nonlinear Filters for Markov Systems with Delayed Observations
• Discrete approximation of nonlinear filtering for stochastic delay equations
• Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
• Nonlinear Filtering for Markov Systems with Delayed Observations

Cited In (1)

• Stochastic control of memory mean-field processes

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