scientific article

zbMath1280.65061MaRDI QIDQ2865642

Ning Du, Wen-bin Liu, Jing-Tao Shi

Publication date: 2 December 2013

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume10-1.htm

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

convergencenumerical examplesstochastic optimal controlstochastic maximum principleEuler methodgradient projection algorithmorbit Monte Carlo simulations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (8)

An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method ⋮ A priori error estimate of stochastic Galerkin method for optimal control problem governed by stochastic elliptic PDE with constrained control ⋮ Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems ⋮ Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model ⋮ Strong-order conditions of Runge-Kutta method for stochastic optimal control problems ⋮ An Efficient Gradient Projection Method for Stochastic Optimal Control Problems ⋮ Stochastic Galerkin method for optimal control problem governed by random elliptic PDE with state constraints ⋮ A priori error estimate of perturbation method for optimal control problem governed by elliptic PDEs with small uncertainties

Uses Software

• PLCP
• SQPlab

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