An algorithm for solving a stochastic control problem

DOI10.1080/07362999608809455MaRDI QIDQ4342975zbMATH OpenOpenAlexFDO

Authors Laurent Mazliak

Publication date 24 August 1997

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999608809455

zbMATH Keywords

algorithmconvex functionmaximum principleweak convergence

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• On an Algorithm for Optimal Control Using Pontryagin’s Maximum Principle
• On global convergence of an algorithm for optimal control

Cited in

(9)

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• A modified MSA for stochastic control problems
• Policy iteration algorithm for singular controlled diffusion processes
• Stochastic optimal control to a nonlinear differential game
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• On the convergence of the Sakawa-Shindo algorithm in stochastic control
• scientific article; zbMATH DE number 4005971 (Why is no real title available?)
• On the relaxed mean-field stochastic control problem
• An Algorithm for Infinite Dimensional Stochastic Control Problems

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