Stochastic Control Problems in Mobile Communications
Abstract
The book, Numerical Methods for Stochastic Control Problems in Continuous Time, contains the most comprehensive development of numerical algorithms and associated convergence proofs for a large part of the current forms of stochastic control problems, and has been quite popular. A second edition was completed. In addition to the broad coverage of the previous edition, it gives numerical algorithms and proofs for problems where the variance term is controlled, and for jump-diffusions where the jump is controlled. The latter problem has arisen in recent applications to communications theory. The standard use of the Poisson measure driven model is no longer adequate, and a general theory is developed. Additionally, the book contains a thorough development for deterministic problems which arise in control and the calculus of variations, and includes discontinuous or unbounded dynamical terms, with applications to image reconstruction, large deviations, and elsewhere. The algorithms are about the fastest and most stable available, and there are convergence proofs for all of them.
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 29, 2001
- Accession Number
- ADA389543
Entities
People
- Harold J. Kushner
- Paul Dupuis
Organizations
- Brown University