On the approximation of optimal stochastic controls

DOI10.1007/BF00933509zbMath0493.93059MaRDI QIDQ1168941

Ulrich G. Haussmann

Publication date: 1983

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

weak convergencestochastic maximum principlecontrolled diffusionapproximating controls

Mathematics Subject Classification ID

Maximum principles in context of PDEs (35B50) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

Related Items (2)

On a problem of quasi-optimal impulse correction of stochastic systems ⋮ Parameter sensitivity in stochastic optimal control^∗

Cites Work

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• Probability methods for approximations in stochastic control and for elliptic equations
• On the convergence of policy iteration for controlled diffusions
• Existence de Solution et Algorithme de Résolution Numérique, de Problème de Contrôle Optimal de Diffusion Stochastique Dégénérée ou Non
• On the Adjoint Process for Optimal Control of Diffusion Processes
• Théorie probabiliste du contrôle des diffusions
• An Approximation Method in Optimal Stochastic Control

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