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Advances in Filtering and Optimal Stochastic Control pp 216–224Cite as

On reducing the dimension of control problems by diffusion approximation

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Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 42))

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4. References

  1. R.A. Howard: Dynamic Programming and Markov Processes, Cambridge (Mass.)-New York, 1960.

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  2. Pham Van Kieu: A diffusion approximation in the ruin problem for a controlled Markov chain. Kybernetika(Prague) 10(1974), 125–132.

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  3. P. Mandl: On aggregating controlled Markov chains. Contributions to Statistics (ed.J.Jurečková) pp.137–156, Prague 1979.

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  4. D. Kukliková-Jarušková: Approximation of bivariate Markov chains by one-dimensional diffusion processes. Aplikace matematiky 23 (1978), 267–279.

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  5. V. Lánská: Diffusion approximation for a controlled service system. Kybernetika (Prague) 18 (1982) to appear.

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Authors and Affiliations

  1. Department of Probability and Mathematical, Statistics, Charles University, Sokolovská 83, 186 00, Prague 8, Czechoslovakia

    Petr Mandl

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  1. Petr Mandl
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Wendell H. Fleming Luis G. Gorostiza

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© 1982 Springer-Verlag

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Mandl, P. (1982). On reducing the dimension of control problems by diffusion approximation. In: Fleming, W.H., Gorostiza, L.G. (eds) Advances in Filtering and Optimal Stochastic Control. Lecture Notes in Control and Information Sciences, vol 42. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004540

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  • DOI: https://doi.org/10.1007/BFb0004540

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11936-4

  • Online ISBN: 978-3-540-39517-1

  • eBook Packages: Springer Book Archive

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