A direct method for solving stochastic control problems (Q352250)
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scientific article; zbMATH DE number 6184159
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| default for all languages | No label defined |
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| English | A direct method for solving stochastic control problems |
scientific article; zbMATH DE number 6184159 |
Statements
A direct method for solving stochastic control problems (English)
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4 July 2013
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explicit optimal controls
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stochastic control problems
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linear-quadratic control problem
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linear exponential quadratic Gaussian control problem
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Brownian motion
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0.889955461025238
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0.8419499397277832
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0.8160439133644104
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