Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints (Q686133): Difference between revisions

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Latest revision as of 11:04, 22 May 2024

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Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints
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    Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints (English)
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    17 October 1993
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    Crank-Nicolson computer algorithm
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    Bellman equation
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    stochastic optimal control
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    Gaussian stochastic noise
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    Poisson noise
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