Controlled nonlinear stochastic delay equations: Part I: Modeling and approximations
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Publication:442568
DOI10.1007/s00245-012-9163-3zbMath1243.93134MaRDI QIDQ442568
Publication date: 1 August 2012
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-012-9163-3
numerical methods; optimal stochastic control; nonlinear stochastic delay equations; transportation equation representation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93C10: Nonlinear systems in control theory
93E20: Optimal stochastic control
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Controlled nonlinear stochastic delay equations: Part II: Approximations and pipe-flow representations, Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey
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