Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints (Q686133)
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scientific article; zbMATH DE number 427966
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| English | Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints |
scientific article; zbMATH DE number 427966 |
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Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints (English)
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17 October 1993
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Crank-Nicolson computer algorithm
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Bellman equation
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stochastic optimal control
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Gaussian stochastic noise
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Poisson noise
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0.9119211
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0.9020259
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0.9018768
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0.9002549
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0.8995468
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0.8995468
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0.89722544
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0.8971454
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