An approximation scheme for the optimal control of diffusion processes (Q4698679)
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scientific article; zbMATH DE number 753948
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation scheme for the optimal control of diffusion processes |
scientific article; zbMATH DE number 753948 |
Statements
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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