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Stochastic control or stochastic optimal control is a sub field of control theory that deals with the existence of uncertainty either in observations or in the noise that drives the evolution of the system. The system designer assumes, in a Bayesian probability-driven fashion, that random noise with known probability distribution affects the evolution and observation of the state variables. Zabczyk, J.: Chance and decision: stochastic control in discrete time. Tech. rep., Scuola Normale de Pisa, Italy (1996) Google Scholar. Bernhard P. et al. (2013) Rainbow Options in Discrete Time, I. In: The Interval Market Model in Mathematical Finance. Static & Dynamic Game Theory: Foundations & …
My research is on decisions under uncertainty and I work on related problems in stochastic optimal control, Markov decision processes, nonlinear partial differential equations, probability theory, ... and stochastic control; Controlled Markov Processes and Viscosity Solutions, ... Discrete dividend payments in continuous time. discrete time grows exponentially with the dimensionality of the process and ... eral context of stochastic programming and chance-constrained programming ... Our experiments apply to stochastic control problems in the area of inventory man-.
GAMBLING THEORY AND STOCHASTIC CONTROL. / Pestien, Victor; Sudderth, William D. In: Proceedings of the IEEE Conference on Decision and Control, 01.12.1987, p. 1970-1972. Research output: Contribution to journal › Conference article
This book was originally published by Academic Press in 1978, and republished by Athena Scientific in 1996 in paperback form. It can be purchased from Athena Scientific or it can be freely downloaded in scanned form (330 pages, about 20 Megs).. The book is a comprehensive and theoretically sound treatment of the mathematical foundations of stochastic optimal control of discrete-time systems Noté /5. Retrouvez Chance and Decision: Stochastic Control in Discrete Time: Quaderni et des millions de livres en stock sur Amazon.fr. Achetez neuf ou d'occasion
A ROLLOUT CONTROL ALGORITHM FOR DISCRETE-TIME. STOCHASTIC ... particular problems. The Predictive Optimal Decision-making (POD) learning ... considered a stochastic process with unknown probability distribution. We are ...