Geodesic
Asymptotic properties and optimization of some non-Markovian stochastic processes
Kybernetika, Tome 45 (2009) no. 3, pp. 475-490

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

We study the limit behavior of certain classes of dependent random sequences (processes) which do not possess the Markov property. Assuming these processes depend on a control parameter we show that the optimization of the control can be reduced to a problem of nonlinear optimization. Under certain hypotheses we establish the stability of such optimization problems.
Classification : 60F15, 62M09, 90B05, 90C40, 93C55, 93E20
Keywords: nonmarkovian control sequence; average cost; attracting point; nonlinear optimitation; stability 
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     author = {Gordienko, Evgueni and Garcia, Antonio and Chavez, Juan Ruiz de},
     title = {Asymptotic properties and optimization of some {non-Markovian} stochastic processes},
     journal = {Kybernetika},
     pages = {475--490},
     publisher = {mathdoc},
     volume = {45},
     number = {3},
     year = {2009},
     mrnumber = {2543135},
     zbl = {1165.62333},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2009__45_3_a7/}
}
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Gordienko, Evgueni; Garcia, Antonio; Chavez, Juan Ruiz de. Asymptotic properties and optimization of some non-Markovian stochastic processes. Kybernetika, Tome 45 (2009) no. 3, pp. 475-490. http://geodesic.mathdoc.fr/item/KYB_2009__45_3_a7/