An Approximation Method in Optimal Stochastic Control

DOI10.1137/0316009MaRDI QIDQ4198426zbMATH OpenOpenAlexFDO

Authors Jean-Michel Bismut

Publication date 1978

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0316009

zbMATH Keywords

approximation methodoptimal stochastic control

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

Cited in

(4)

• On the convergence of policy iteration for controlled diffusions
• On the approximation of optimal stochastic controls
• Conjugate convex functions in optimal stochastic control
• Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria

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