An Algorithm for Infinite Dimensional Stochastic Control Problems

DOI10.1002/1521-4001(200211)82:11/12%3C767::AID-ZAMM767%3E3.0.CO;2-MMaRDI QIDQ4795218zbMATH OpenOpenAlexFDO

Authors Wilfried Grecksch

Publication date 23 February 2003

Full work available at URL https://doi.org/10.1002/1521-4001(200211)82:11/12%3C767::aid-zamm767%3E3.0.co;2-m

zbMATH Keywords

stochastic maximum principleadjoint processfinite-dimensional approximationsHamilton functionsBonnans algorithm

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)

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Cited in

(2)

• Algorithms to solve stochastic \(H_2 / H_{\infty}\) control with state-dependent noise
• Infinitesimal methods in control theory: deterministic and stochastic

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