A numerical technique for small-noise stochastic control problems

DOI10.1007/BF00935610MaRDI QIDQ2558848zbMATH OpenFDO

Authors Charles J. Holland

Publication date 1974

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

Full work available at URL https://doi.org/10.1007/BF00935610

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites work

• On the theory of optimal control. An asymptotic method for solving the diffusive alternative equation
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Stochastic Control for Small Noise Intensities
• Weak Solutions of a Partial Differential Equation of Dynamic Programming

Cited in

(5)

• Computational and approximate methods of optimal control
• Singular perturbations and order reduction in control theory - an overview
• Computation of optimal controls for a nonlinear stochastic third-order system
• On the limiting behavior of Burger's equation
• Gradient method for computing optimal controls for stochastic differential equations

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