Zur näherungsweisen ermittlung optimaler stochastischer steuerimgen durch diskretisierung

DOI10.1080/02331887808801438zbMath0396.49025OpenAlexW2012574579MaRDI QIDQ4179458

Wilfried Grecksch, P. Heinz Müller

Publication date: 1978

Published in: Series Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331887808801438

zbMATH Keywords

MartingaleFeedbackDiscretizationStochastic Differential EquationStochastic IntegralRitz MethodStochastic Control Problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Newton-type methods (49M15) Optimal stochastic control (93E20) Stochastic integrals (60H05) Existence of optimal solutions to problems involving randomness (49J55)

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