Numerical method of design of stochastic optimal control systems

MaRDI QIDQ1103582zbMATH OpenFDO

Authors G. E. Kolosov, M. M. Sharov

Publication date 1987

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

numerical solutionfinite-difference schemeBellman's equationboundary conditions for the loss functionoptimal damping of random oscillations

Mathematics Subject Classification ID

Linear programming (90C05) Diffusion processes (60J60) Dynamic programming in optimal control and differential games (49L20) Finite difference methods for boundary value problems involving PDEs (65N06) Optimal stochastic control (93E20)

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