An approximation scheme for the optimal control of diffusion processes
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convergencedynamic programmingfeedback controlsHamilton-Jacobi-Bellman equationnumerical testsoptimal controlstochastic diffusion process
Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Diffusion processes (60J60) Numerical optimization and variational techniques (65K10)
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