On the Convergence of an Approximation Scheme for the Viscosity Solutions of the Bellman Equation Arising in a Stochastic Optimal Control Problem
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Publication:2999410
DOI10.2478/v10157-010-0027-3zbMath1224.93132OpenAlexW2072433154MaRDI QIDQ2999410
Publication date: 13 May 2011
Published in: Annals of the Alexandru Ioan Cuza University - Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2478/v10157-010-0027-3
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
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