Accession Number : AD0730101

Title :   Introduction to Stochastic Control,

Corporate Author : BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS

Personal Author(s) : Kushner,Harold

Report Date : 1971

Pagination or Media Count : 407

Abstract : The text treats stochastic control problems for Markov chains, discrete time Markov processes, and diffusion models, and discusses method of putting other problems into the Markovian framework. Computational methods are discussed and compared for Markov chain problems. Other topics include the fixed and free time of control, discounted cost, minimizing the average cost per unit time, and optimal stopping. Filtering and conrol for linear systems, and stochastic stability for discrete time problems are discussed thoroughly. The book gives a detailed treatment of the simpler problems, and fills the need to introduce the student to the more sophisticated mathematical concepts required for advanced theory by describing their roles and necessity in an intuitive and natural way. Diffusion models are developed as limits of stochastic difference equations and also via the stochastic integral approach. Examples and exercises are included. (Author)

Descriptors :   (*CONTROL SYSTEMS, MATHEMATICAL MODELS), (*NONLINEAR DIFFERENTIAL EQUATIONS, *STOCHASTIC PROCESSES), SEQUENCES, RANDOM VARIABLES, DYNAMIC PROGRAMMING, LINEAR SYSTEMS, INTEGRALS, INTEGRATION, NUMERICAL ANALYSIS, STABILITY, OPTIMIZATION, TEXTBOOKS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE