On the time discretization of stochastic optimal control problems: the dynamic programming approach
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Cited in
(15)- Logarithmic transformations for discrete-time, finite-horizon stochastic control problems
- Concepts and methods for discrete and continuous time control under uncertainty
- Numerical schemes for dicontinuous value functions of optimal control
- Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
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- scientific article; zbMATH DE number 1276052 (Why is no real title available?)
- scientific article; zbMATH DE number 1419520 (Why is no real title available?)
- Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs
- Existence of Lagrange multipliers under Gâteaux differentiable data with applications to stochastic optimal control problems
- Discretisation of continuous-time stochastic optimal control problems with delay.
- Convergence of a Robust Deep FBSDE Method for Stochastic Control
- Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework
- On the numerical stability of discretised optimal control problems
- Discretisation of stochastic control problems for continuous time dynamics with delay
- Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
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