Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey

摘要

This survey article considers discrete approximations of an optimal control problem in which the controlled state equation is described by a general class of stochastic functional differential equations with a bounded memory. Specifically, three different approximation methods, namely (i) semidiscretization scheme; (ii) Markov chain approximation; and (iii) finite difference approximation, are investigated. The convergence results as well as error estimates are established for each of the approximation methods.View full textDownload full textKeywordsDiscrete approximations, Finite difference approximation, Markov chain approximation, Stochastic functional differential equationsMCS 2000 Subject ClassificationPrimary 90A09, 60H30, Secondary 60G44, 90A16Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/07362994.2012.684327