Numerical Methods for Stochastic Control Problems in Continuous Time (Harold J. Kushner and Paul G. Dupuis).
Tyrone E. DuncanPublished in: SIAM Rev. (1994)
Keyphrases
- control problems
- numerical methods
- optimal control
- stochastic control
- markov processes
- brownian motion
- approximation schemes
- reinforcement learning
- differential equations
- continuous state spaces
- queueing systems
- stochastic processes
- partial differential equations
- dynamical systems
- dynamic programming
- finite difference method
- state space
- runge kutta
- numerical solution
- stochastic process
- level set method
- markov chain
- hamilton jacobi bellman
- control strategy
- search space
- real time
- image enhancement