Iterative schemes for certain time-dependent problems of stochastic optimal control

DOI10.1080/00207178908953459MaRDI QIDQ4204710zbMATH OpenOpenAlexFDO

Authors S. A. Belbas, Isaak Mayergoyz

Publication date 1989

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178908953459

zbMATH Keywords

discrete control actions (switchings)discretizationiterative schemesparabolic quasi-variational inequalities

Mathematics Subject Classification ID

Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Numerical methods involving duality (49M29) Optimal stochastic control (93E20)

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Cites work

• A Convergence Estimate for an Approximation of a Parabolic Variational Inequality
• Convergent approximations in parabolic variational inequalities. II: Hamilton-Jacobi inequalities
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• On the Convergence of the Discrete Time Dynamic Programming Equation for General Semigroups

Cited in

(4)

• Numerical solution of quasi-variational inequalities arising in stochastic game theory
• An Iterative Method for Nonlinear Stochastic Optimal Control Based on Path Integrals
• scientific article; zbMATH DE number 1059819 (Why is no real title available?)
• Iterative Procedures in Application of the LQG Approach to Control Problems for Polynomial Stochastic Systems

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