Browsing Mathematics (MA) by Subject "Stochastic Differential Equations"
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Ergodic and adaptive control of markov processes.
We address the problem of controlling two classes of Markov processes, viz., Markov chains and diffusion processes. Our main goal is to minimize a long-run average cost criterion (or ergodic cost criterion) associated with ... -
Study of Higher Order Split-Step Methods for Stiff Stochastic Differential Equations
(2018-04-06)Stochastic differential equations(SDEs) play an important role in many branches of engineering and science including economics, finance, chemistry, biology, mechanics etc. SDEs (with m-dimensional Wiener process) arising ...