An Approximation Method in Optimal Stochastic Control

DOI10.1137/0316009zbMath0411.93044OpenAlexW2031035158MaRDI QIDQ4198426

Jean-Michel Bismut

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1137/0316009

zbMATH Keywords

approximation methodoptimal stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (4)

On the convergence of policy iteration for controlled diffusions ⋮ Conjugate convex functions in optimal stochastic control ⋮ On the approximation of optimal stochastic controls ⋮ Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria

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