scientific article; zbMATH DE number 3908309

MaRDI QIDQ3686602zbMATH OpenFDO

Authors Francois Delebecque, Claude Gomez, Agnès Sulem, M. Viot, Alain Bensoussan, Maurice Goursat, P. V. Kokotović, Jean-Pierre Quadrat

Publication date 1984

zbMATH Keywords

approximationexact solutionexpert systemmethods for solving stochastic control problems

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Finite difference methods for boundary value problems involving PDEs (65N06) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Dynamic programming (90C39) Software, source code, etc. for problems pertaining to systems and control theory (93-04) Optimal stochastic control (93E20)

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Cited in

(3)

• Computational aspects in applied stochastic control
• Numerical methods of successive elimination and optimization in stochastic optimal control
• Variational approaches and other contributions in stochastic optimization.

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