Numerical Methods for Controlled Stochastic Delay Systems

The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. It is the first book on the subject.

This is the first comprehensive book on the subject Useful forms of numerical algorithms and system approximations are given Various examples are presented with applications to control and modern communications systems For a broad audience of graduate students, researchers, and practitioners in control theory, stochastic systems, numerical analysis, operations research, probability theory, and dynamical systems. May be used as a graduate-level textbook in a special topics course or seminar on numerical methods in stochastic control Includes supplementary material: sn.pub/extras

Contenu
Examples and Introduction.- Weak Convergence and Martingales.- Stochastic Delay Equations: Models.- Approximations to the Dynamical Models.- The Ergodic Cost Problem.- Markov Chain Approximations: Introduction.- Markov Chain Approximations: Path and Control Delayed..- Path and Control Delayed: Continued.- A Wave Equation Approach.