Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints (Q686133)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints |
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Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints (English)
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17 October 1993
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Crank-Nicolson computer algorithm
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Bellman equation
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stochastic optimal control
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Gaussian stochastic noise
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Poisson noise
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