scientific article

zbMath0968.93005MaRDI QIDQ2703816

Harold J. Kushner, Paul Dupuis

Publication date: 18 March 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

weak convergencedynamic programmingdomain decompositionrelaxationheavy trafficcomputational methodsnonlinear filteringGauss-Seidel iterationfinite differencemartingale measurejump diffusionMarkov chain approximationreflecting boundarylocal consistencyergodic cost problemcontrolled jumpscontrolled variance

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical optimization and variational techniques (65K10) Dynamic programming (90C39) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40)

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