Controlled Markov Processes and Viscosity Solutions, Fleming Wendell H., Soner H.M.

Автор: Harold Kushner
Название: Numerical Methods for Controlled Stochastic Delay Systems
ISBN: 0817645349 ISBN-13(EAN): 9780817645342
Издательство: Springer
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Цена: 102480.00 T
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Описание: The Markov chain approximation methods are used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. It surveys properties of various stochastic dynamical models, including singular control, and those for diffusion and reflected diffusion models.

Автор: L. C. G. Rogers
Название: Diffusions, Markov Processes and Martingales
ISBN: 0521775930 ISBN-13(EAN): 9780521775939
Издательство: Cambridge Academ
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Цена: 77090.00 T
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Описание: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.

Автор: Martin L. Puterman
Название: Markov Decision Processes: Discrete Stochastic Dynamic Programming
ISBN: 0471727822 ISBN-13(EAN): 9780471727828
Издательство: Wiley
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Цена: 137230.00 T
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Описание: This book is an up-to-date, unified and rigorous treatment of theoretical, computational and applied research on Markov decision process models. The concentration of the book is on infinite-horizon discrete-time models, and it also discusses arbitrary state spaces, finite-horizon and continuous-time discrete-state models.