Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay

DOI10.1007/S00245-007-9019-4zbMath1211.65077OpenAlexW2161226558MaRDI QIDQ946221

Giovanna Nappo, Markus Fischer

Publication date: 22 September 2008

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-007-9019-4

zbMATH Keywords

stochastic differential equationconvergencedelaystochastic optimal controlerror boundfinite differencesfunctional differential equationtime lagtime discretisationsemi-discretisation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ The equivalent discrete-time optimal control problem for time-varying continuous-time systems with white stochastic parameters ⋮ Recurrent neural networks for stochastic control problems with delay ⋮ Finite-dimensional representations for controlled diffusions with delay

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