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. 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.
- ISBN13 9780817645342
- Publish Date 25 August 2008 (first published 1 January 2008)
- Publish Status Active
- Publish Country US
- Imprint Birkhauser Boston Inc
- Edition 2008 ed.
- Format Hardcover
- Pages 282
- Language English