Stochastic optimal controls with delay
This thesis investigates stochastic optimal control problems with discrete delay and those with both discrete and exponential moving average delays, using the stochastic maximum principle, together with the methods of conjugate duality and dynamic programming. To obtain the stochastic maximum princ...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
2017
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| Online Access: | http://eprints.nottingham.ac.uk/47816/ http://eprints.nottingham.ac.uk/47816/1/Thesis_Zimeng_Wang.pdf |