scientific article

zbMath1332.93385MaRDI QIDQ3462247

Fikriye Yılmaz, Hacer Öz, Gerhard-Wilhelm Weber

Publication date: 5 January 2016

Full work available at URL: http://online.watsci.org/fulltext_b_pdf/2015v22/v22n6b-pdf/1.pdf

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

zbMATH Keywords

Lagrange multiplierHamiltonianstochastic optimal controlRunge-Kutta discretizationsymplectic partitioned Runge-Kutta scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Newton-type methods (49M15) Optimal stochastic control (93E20) Discrete approximations in optimal control (49M25)

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An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method ⋮ Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems ⋮ Strong-order conditions of Runge-Kutta method for stochastic optimal control problems ⋮ A discrete optimality system for an optimal harvesting problem ⋮ Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems

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