Discretisation of stochastic control problems for continuous time dynamics with delay

DOI10.1016/j.cam.2006.02.062zbMath1123.93088arXivmath/0602385MaRDI QIDQ885948

Markus Fischer, Markus Reiss

Publication date: 14 June 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602385

zbMATH Keywords

stochastic optimal control; finite-difference approximation; stochastic delay differential equations

Mathematics Subject Classification ID

93E20: Optimal stochastic control

34K50: Stochastic functional-differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Related Items

Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay, Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Representation and control of infinite dimensional systems. Volume I
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Vintage capital and the dynamics of the AK model
• Introduction to the numerical analysis of stochastic delay differential equations
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Some Solvable Stochastic Control Problems With Delay
• Convergence in Nonlinear Filtering for Stochastic Delay Systems
• Dynamic programming in stochastic control of systems with delay
• Numerical approximations for nonlinear stochastic systems with delays
• Stochastic differential equations. An introduction with applications.