On the Numerical Approximation of an Optimal Correction Problem

DOI10.1137/0909068MaRDI QIDQ3811675zbMATH OpenOpenAlexFDO

Authors M. C. Bancora-Imbert, Pao-Liu Chow, José-Luis Menaldi

Publication date 1988

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0909068

zbMATH Keywords

convergencedamped random linear oscillatordynamic programmingfree boundariesiterationoptimal correctionvariational inequalities

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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• Optimal correction of the absolute value equations
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• An approximation scheme for the optimal control of diffusion processes
• Local solutions of the Hamilton-Jacobi-Bellman equation for some stochastic problems

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