Diffusion approximation and optimal stochastic control

DOI10.1137/S0040585X97977860MaRDI QIDQ2711151zbMATH OpenOpenAlexFDO

Authors Wolfgang J. Runggaldier, R. Liptser, Michael Taksar

Publication date 2 May 2001

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97977860

zbMATH Keywords

asymptotic optimalitydiffusion processesLipschitz feedbackoptimal stochastic controlweak convergence

Mathematics Subject Classification ID

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

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