Computational aspects in applied stochastic control

DOI10.1007/BF01299570zbMath0821.90026OpenAlexW2061419974MaRDI QIDQ1342439

Charles S. Tapiero, Agnès Sulem

Publication date: 27 September 1995

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01299570

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsimulationiterative solutionsstochastic approximationsMarkov chain approximation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic programming (90C15) Inventory, storage, reservoirs (90B05) Economic growth models (91B62) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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