Approximation in optimal control of diffusion processes

DOI10.1515/ROSE.2000.8.4.365MaRDI QIDQ2722268zbMATH OpenOpenAlexFDO

Authors Brahim Mezerdi, Seïd Bahlali

Publication date 11 July 2001

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.2000.8.4.365

zbMATH Keywords

cost functiondiffusion processoptimal controlrelaxed control problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Recommendations

• Approximation and optimality necessary conditions in relaxed stochastic control problems
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Optimal Controls for Stochastic Partial Differential Equations
• On the relaxed mean-field stochastic control problem
• The relaxed general maximum principle for singular optimal control of diffusions

Cited in

(12)

• scientific article; zbMATH DE number 3932148 (Why is no real title available?)
• Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
• Linear programming and the control of diffusion processes
• scientific article; zbMATH DE number 42423 (Why is no real title available?)
• Model reduction algorithms for optimal control and importance sampling of diffusions
• On the relaxed mean-field stochastic control problem
• Approximation and optimality necessary conditions in relaxed stochastic control problems
• Optimal control of diffusions: A verification theorem for viscosity solutions
• scientific article; zbMATH DE number 3877055 (Why is no real title available?)
• scientific article; zbMATH DE number 3878077 (Why is no real title available?)
• Diffusion approximation and optimal stochastic control
• Compactification methods in the control of degenerate diffusions: existence of an optimal control

This page was built for publication: Approximation in optimal control of diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2722268)