Numerical approximations for stochastic systems with delays in the state and control

DOI10.1080/17442500600893480zbMath1109.93046OpenAlexW2032420308MaRDI QIDQ3426323

Harold J. Kushner

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600893480

zbMATH Keywords

numerical methodsoptimal stochastic controlMarkov chain approximation methoddelay stochastic equationsnumerical methods for delayed controlled diffusions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Stochastic systems in control theory (general) (93E03) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations ⋮ Sticky Brownian Motion and Its Numerical Solution ⋮ Recurrent neural networks for stochastic control problems with delay

Cites Work

• A boundary property of semimartingale reflecting Brownian motions
• SDEs with oblique reflection on nonsmooth domains
• Brownian models of open queueing networks with homogeneous customer populations^∗
• The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
• Quadratic Control of Evolution Equations with Delays in Control
• Numerical Approximations for Hereditary Systems with Input and Output Delays: Convergence Results and Convergence Rates
• On the Control of a Linear Functional-Differential Equation with Quadratic Cost
• Numerical approximations for nonlinear stochastic systems with delays
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications

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