On the approximation of optimal stochastic controls

DOI10.1007/BF00933509MaRDI QIDQ1168941zbMATH OpenFDO

Authors Ulrich G. Haussmann

Publication date 1983

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

weak convergencestochastic maximum principlecontrolled diffusionapproximating controls

Mathematics Subject Classification ID

Diffusion processes (60J60) Maximum principles in context of PDEs (35B50) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites work

• scientific article; zbMATH DE number 3748909 (Why is no real title available?)
• scientific article; zbMATH DE number 3784774 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• An Approximation Method in Optimal Stochastic Control
• Existence de Solution et Algorithme de Résolution Numérique, de Problème de Contrôle Optimal de Diffusion Stochastique Dégénérée ou Non
• On the Adjoint Process for Optimal Control of Diffusion Processes
• On the convergence of policy iteration for controlled diffusions
• Probability methods for approximations in stochastic control and for elliptic equations
• Théorie probabiliste du contrôle des diffusions

Cited in

(2)

• Parameter sensitivity in stochastic optimal control^∗
• On a problem of quasi-optimal impulse correction of stochastic systems

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