Convergence of Markov chain approximation on generalized HJB equation and its applications

DOI10.1016/j.automatica.2007.07.014zbMath1283.93319MaRDI QIDQ2440656

Yanyan Li

Publication date: 19 March 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2007.07.014

zbMATH Keywords

differential games; dynamic programming; stochastic control; convergence of numerical methods

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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