Resource title

Discretisation of stochastic control problems for continuous time dynamics with delay

Resource image

image for OpenScout resource :: Discretisation of stochastic control problems for continuous time dynamics with delay

Resource description

As a main step in the numerical solution of control problems in continous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretizing time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal strategy with respect to the cost functional can be guaranteed in the class of relaxed controls. Weak convergence of the approximating extended Markov chains to the original process together with convergence of the associated optimal strategies is established.

Resource author

Markus Fischer, Markus ReiƟ

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25052

Resource license

Adapt according to the presented license agreement and reference the original author.