Numerical solution to a stochastic interception problem
DOI10.1002/cnm.1640101106zbMath0811.65139MaRDI QIDQ4315431
Publication date: 11 December 1994
Published in: Communications in Numerical Methods in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cnm.1640101106
finite difference method; vector stochastic differential equation; Fokker-Planck partial differential equation; stochastic interception problem
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
65N06: Finite difference methods for boundary value problems involving PDEs
65C99: Probabilistic methods, stochastic differential equations
Cites Work
- Probability methods for approximations in stochastic control and for elliptic equations
- Stochastic pursuit-evasion differential games in the plane
- A finite element method for the statistics of non-linear random vibration
- Optimal bang-bang control of partially observable stochastic systems†
- Computation of nash equilibrium pairs of a stochastic differential game
- Persistence of Dynamical Systems under Random Perturbations