On the Numerical Approximation of an Optimal Correction Problem

DOI10.1137/0909068zbMath0661.65150OpenAlexW2052740656MaRDI QIDQ3811675

M. C. Bancora-Imbert, José Luis Menaldi, Pao-Liu Chow

Publication date: 1988

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0909068

zbMATH Keywords

convergenceiterationvariational inequalitiesdynamic programmingfree boundariesoptimal correctiondamped random linear oscillator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Local solutions of the Hamilton-Jacobi-Bellman equation for some stochastic problems ⋮ An approximation scheme for the optimal control of diffusion processes

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