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Article

Gordienko, Evgueni ; Garcia, Antonio ; Chavez, Juan Ruiz de
Asymptotic properties and optimization of some non-Markovian stochastic processes. (English). Kybernetika, vol. 45 (2009), issue 3, pp. 475-490
MSC: 60F15, 62M09, 90B05, 90C40, 93C55, 93E20 | MR 2543135 | Zbl 1165.62333
Keywords:
nonmarkovian control sequence; average cost; attracting point; nonlinear optimitation; stability
Summary:
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.
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