Approximations, existence, and numerical procedures for optimal stochastic controls
DOI10.1016/0022-247X(74)90052-3zbMATH Open0285.93037OpenAlexW2074212393MaRDI QIDQ1845563FDOQ1845563
Authors: Harold J. Kushner, Chen-Fu. Yu 
Publication date: 1974
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0022-247x(74)90052-3
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Nonlinear elliptic equations (35J60) Finite difference methods for boundary value problems involving PDEs (65N06) Optimal stochastic control (93E20) Numerical approximation and computational geometry (primarily algorithms) (65D99) Miscellaneous topics in partial differential equations (35R99)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- On Filippov's Implicit Functions Lemma
- The existence of optimal controls
- Probability limit theorems and the convergence of finite difference approximations of partial differential equations
- Existence of Optimal Stochastic Control Laws
- Mathematical programming and the control of Markov chains†
- Weak Solutions of a Partial Differential Equation of Dynamic Programming
Cited In (7)
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- Approximations and computational methods for optimal stopping and stochastic impulsive control problems
- Existence results for optimal stochastic controls
- Computational and approximate methods of optimal control
- Computation of optimal controls for a nonlinear stochastic third-order system
- Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions
- Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes
This page was built for publication: Approximations, existence, and numerical procedures for optimal stochastic controls
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1845563)
