Finite Difference Approximations for Stochastic Control Systems with Delay

DOI10.1080/07362990802006980zbMath1147.93027MaRDI QIDQ3506296

Moustapha Pemy, Mou-Hsiung Chang, Tao Pang

Publication date: 12 June 2008

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

Full work available at URL: https://doi.org/10.1080/07362990802006980

zbMATH Keywords

stochastic control; finite difference approximation; viscosity solutions; stochastic functional differential equations

Mathematics Subject Classification ID

93C23: Control/observation systems governed by functional-differential equations

34K50: Stochastic functional-differential equations

93E03: Stochastic systems in control theory (general)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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Cites Work

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• Theory of functional differential equations. 2nd ed
• Optimal control of stochastic systems with aftereffect
• Some Solvable Stochastic Control Problems With Delay
• Dynamic programming in stochastic control of systems with delay