A successive approximation algorithm for stochastic control problems

DOI10.1016/0096-3003(86)90022-6zbMath0594.93070MaRDI QIDQ1077372

B. George

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0096-3003(86)90022-6

zbMATH Keywords

Bellman equations; successive approximation algorithm

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

93E20: Optimal stochastic control

35J15: Second-order elliptic equations

49K45: Optimality conditions for problems involving randomness

35K10: Second-order parabolic equations

65N22: Numerical solution of discretized equations for boundary value problems involving PDEs