Stochastic optimal control of state constrained systems

DOI10.1080/00207179.2011.565520zbMath1221.93276OpenAlexW2010475424MaRDI QIDQ3015163

Bart van Den Broek, Bert Kappen, W. A. J. J. Wiegerinck

Publication date: 8 July 2011

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2011.565520

zbMATH Keywords

state constraintspath integralstochastic optimal controladaptive time discretisationhybrid Monte Carlo sampling

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites Work

• On the relation between ordinary and stochastic differential equations
• EP for Efficient Stochastic Control with Obstacles
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
• Sequential Monte Carlo methods for diffusion processes
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control

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