Markov chain approximation method

<h2 id="see-also">See also</h2>
<ul><li><a href="/facts/Control_theory/aIuERpn6">Control theory</a></li>
<li><a href="/facts/Optimal_control/9SmcQHjJ">Optimal control</a></li>
<li><a href="/facts/Stochastic_differential_equation/ol9a9WNq">Stochastic differential equation</a></li>
<li><a href="/facts/Differential_equation/9MGbE3Ca">Differential equation</a></li>
<li><a href="/facts/Numerical_analysis/QT9cYa9z">Numerical analysis</a></li>
<li><a href="/facts/Stochastic_process/Ng1n1dnB">Stochastic process</a></li></ul>

<h2 id="references">References</h2>

<ol>
<li id="fn:1"><p>Harold J Kushner, Paul G Dupuis, Numerical methods for stochastic control problems in continuous time, Applications of mathematics 24, Springer-Verlag, 1992. <a href="#fnref:1" class="footnote-back-ref">↩</a></p></li>
<li id="fn:2"><p>P E Kloeden, Eckhard Platen, Numerical Solutions of Stochastic Differential Equations, Applications of Mathematics  23, Stochastic Modelling and Applied probability, Springer, 1992. <a href="#fnref:2" class="footnote-back-ref">↩</a></p></li>
<li id="fn:3"><p>F. B. Hanson, "Markov Chain Approximation", in C. T. Leondes, ed., Stochastic Digital Control System Techniques, Academic Press, 1996, ISBN 978-0120127764. <a href="http://homepages.math.uic.edu/~hanson/pub/CADS96/cads96mca.pdf" target="_blank">http://homepages.math.uic.edu/~hanson/pub/CADS96/cads96mca.pdf</a> <a href="#fnref:3" class="footnote-back-ref">↩</a></p></li>
</ol>

Markov chain approximation method open-in-new

Markov chain approximation method