Discrete Approximations for Stochastic Control Problems with Control Acting Continuously and Impulsively
| Author | : Harold J. Kushner |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 1975 |
| ISBN-10 | : OCLC:227392162 |
| ISBN-13 | : |
| Rating | : 4/5 ( Downloads) |
Book Synopsis Discrete Approximations for Stochastic Control Problems with Control Acting Continuously and Impulsively by : Harold J. Kushner
Download or read book Discrete Approximations for Stochastic Control Problems with Control Acting Continuously and Impulsively written by Harold J. Kushner and published by . This book was released on 1975 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control problems of either the optimal stopping or impulsive control type on diffusion models are considered, but there is also a continuously acting control. Various computationally convenient Markov chain approximations to the problems are developed, and it is shown that the costs for the sequence of approximations converge to the optimal cost for original problems.