Stochastic Control Problems and Numerical Methods

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9302137 Kushner The project deals with several basic areas in stochastic control with emphasis on numerical methods. The PI has recently published a book on the subject, and the techniques allow the effective treatment of many of the standard types of problems. The techniques are applicable to deterministic problems and examples (and proofs and data) are given for hard problems arising in the calculus of variations. The aim is to encourage the wider use of stochastic systems methods via the numerical possibilities. The proposal also concerns a variety of approximation and limit problems in complex control systems. For example, the control of admission and routing in networks in communications, when there are several classes of customers and the work is in the heavy traffic regime. There are significant mathematical problems here. The associated numerical problem is also of interest. ***