An approximation scheme for the optimal control of diffusion processes (Q4698679): Difference between revisions

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Latest revision as of 14:18, 23 May 2024

scientific article; zbMATH DE number 753948
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English
An approximation scheme for the optimal control of diffusion processes
scientific article; zbMATH DE number 753948

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    An approximation scheme for the optimal control of diffusion processes (English)
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    15 October 1995
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    numerical tests
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    optimal control
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    stochastic diffusion process
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    dynamic programming
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    Hamilton-Jacobi-Bellman equation
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    convergence
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    feedback controls
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