Numerical solution to a stochastic interception problem

DOI10.1002/CNM.1640101106MaRDI QIDQ4315431zbMATH OpenOpenAlexFDO

Authors Gerhard W. Reuter

Publication date 11 December 1994

Published in Communications in Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cnm.1640101106

zbMATH Keywords

finite difference methodFokker-Planck partial differential equationstochastic interception problemvector stochastic differential equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99) Finite difference methods for boundary value problems involving PDEs (65N06)

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Cites work

• A finite element method for the statistics of non-linear random vibration
• Computation of nash equilibrium pairs of a stochastic differential game
• Optimal bang-bang control of partially observable stochastic systems†
• Persistence of Dynamical Systems under Random Perturbations
• Probability methods for approximations in stochastic control and for elliptic equations
• Stochastic pursuit-evasion differential games in the plane

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