Numerical Methods for Controlled Stochastic Delay Systems

Numerical Methods for Controlled Stochastic Delay Systems Book Description

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. Because such problems are infinite-dimensional, many new issues arise in getting good numerical approximations. Useful forms of the numerical algorithms and system approximations are developed and the convergence proofs are given. The necessary ergodic theory is developed for the average cost per unit time problem. All of the usual cost functions are treated as well as singular and impulsive controls. A major concern in all cases is with representations and approximations that use minimal memory.

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 students, researchers, and practitioners, the work may be used as a graduate-level textbook for a special topics course or seminar on numerical methods in stochastic control.

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