Stochastic approximation and recursive algorithms and applications

@inproceedings{Kushner2003StochasticAA,
  title={Stochastic approximation and recursive algorithms and applications},
  author={Harold J. Kushner and Gang George Yin},
  year={2003}
}
Introduction 1 Review of Continuous Time Models 1.1 Martingales and Martingale Inequalities 1.2 Stochastic Integration 1.3 Stochastic Differential Equations: Diffusions 1.4 Reflected Diffusions 1.5 Processes with Jumps 2 Controlled Markov Chains 2.1 Recursive Equations for the Cost 2.2 Optimal Stopping Problems 2.3 Discounted Cost 2.4 Control to a Target Set and Contraction Mappings 2.5 Finite Time Control Problems 3 Dynamic Programming Equations 3.1 Functionals of Uncontrolled Processes 3.2… CONTINUE READING

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