A high-order numerical scheme for stochastic optimal control problem

DOI10.1016/J.CAM.2023.115158MaRDI QIDQ6099532zbMATH OpenOpenAlexFDO

Authors

Publication date 20 June 2023

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2023.115158

zbMATH Keywords

fully nonlinear second-order PDEslocal discontinuous Galerkin methodoptimal error estimatesstochastic optimal control

Mathematics Subject Classification ID

Newton-type methods (49M15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Optimal stochastic control (93E20)

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Cites work

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Cited in

(1)

• A high-order numerical method for BSPDEs with applications to mathematical finance

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