Numerical Methods and Approximation and Modelling Problems in Stochastic Control Theory.
Final rept. 1 Jul 77-30 Jun 78,
BROWN UNIV PROVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS
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Research was done on diffusion processes depending on small parameters and on optimal stochastic control. Another area of research was in measure-valued diffusion processes. Work was completed in the area of stochastic control and in optimality conditions for stochastic systems under partial observations. Work was completed dealing with the approximation and computational problem for the average cost per unit time problem for a diffusion model. A monograph was published dealing with constrained and unconstrained problems of the stochastic approximation type. Author
- Statistics and Probability