Existence de Solution et Algorithme de Résolution Numérique, de Problème de Contrôle Optimal de Diffusion Stochastique Dégénérée ou Non

DOI10.1137/0318015zbMath0439.93057OpenAlexW1969156411MaRDI QIDQ3882312

Jean-Pierre Quadrat

Publication date: 1980

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0318015

Mathematics Subject Classification ID

Related Items (10)

Applicable stochastic control: From theory to practice ⋮ Computational aspects in applied stochastic control ⋮ The probabilistic structure of controlled diffusion processes ⋮ Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application ⋮ Discrete dynamic programming and viscosity solutions of the Bellman equation ⋮ On the approximation of optimal stochastic controls ⋮ Discrete-time hybrid control in Borel spaces ⋮ An approximation scheme for the optimal control of diffusion processes ⋮ Compactification methods in the control of degenerate diffusions: existence of an optimal control ⋮ Impulse control of stochastic Navier-Stokes equations

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