Numerical Methods for Controlled Stochastic Delay Systems

By Harold J. Kushner. 2008

70 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/6aeb4dbc2062d2ac8831c64ccfbe3465cbe6fc2b

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1. Jianhai Bao
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5. Xiaoyue Li

Citations in the corpus

• Large deviations for neutral functional SDEs with jumps (2015, methodology): “Stochastic dynamical systems subject to propagation delay, which are referred to as functional SDEs, are also used in a variety of applications, see, e.g. Appleby et al. [2] and Arriojas et al. [3] for delay Black–Scholes models, Kushner [16] for optimal control problems, Mohammed [21] for a random ”