An approximation scheme for the optimal control of diffusion processes (Q4698679)
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scientific article; zbMATH DE number 753948
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| English | An approximation scheme for the optimal control of diffusion processes |
scientific article; zbMATH DE number 753948 |
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An approximation scheme for the optimal control of diffusion processes (English)
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15 October 1995
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numerical tests
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optimal control
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stochastic diffusion process
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dynamic programming
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Hamilton-Jacobi-Bellman equation
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convergence
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feedback controls
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0.8325151205062866
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0.8249557614326477
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0.8243033289909363
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