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

DOI10.1080/17442500600893480zbMATH Open1109.93046OpenAlexW2032420308MaRDI QIDQ3426323FDOQ3426323

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (9)

• 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
• Numerical approximations for nonlinear stochastic systems with delays
• Sticky Brownian Motion and Its Numerical Solution
• Continuous-time random walks for the numerical solution of stochastic differential equations
• Controlled nonlinear stochastic delay equations: Part I: Modeling and approximations
• Numerical methods for controlled stochastic delay systems
• Recurrent neural networks for stochastic control problems with delay
• Numerical methods for controls for nonlinear stochastic systems with delays and jumps: applications to admission control

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