Stochastic optimal controls with delay

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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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Bibliographic Details
Main Author:	Wang, Zimeng
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2017
Subjects:	conjugate duality method dynamic programming delay maximum principle stochastic optimal control theory
Online Access:	https://eprints.nottingham.ac.uk/47816/

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