Numerical Methods for Controlled Stochastic Delay Systems

by Harold J. Kushner

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. The book is the first on the subject and will be of great interest to all those who work with stochastic delay equations and whose main interest is either in the use of the algorithms or in the mathematics. An excellent resource for graduate...

• Format: Hardcover
• Language: English
• ISBN: 0817645349
• ISBN13: 9780817645342
• Release Date: August 2008
• Publisher: Birkhauser
• Length: 282 Pages
• Weight: 1.23 lbs.
• Dimensions: 0.7" x 6.1" x 9.3"