Controlled nonlinear stochastic delay equations: Part I: Modeling and approximations

DOI10.1007/S00245-012-9163-3zbMath1243.93134OpenAlexW2094063863MaRDI QIDQ442568

Harold J. Kushner

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

zbMATH Keywords

numerical methodsoptimal stochastic controlnonlinear stochastic delay equationstransportation equation representation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

Related Items (2)

Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey ⋮ Controlled nonlinear stochastic delay equations: Part II: Approximations and pipe-flow representations

Cites Work

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• Numerical Algorithms for Optimal Controls for Nonlinear Stochastic Systems With Delays $ $
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications

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