scientific article; zbMATH DE number 2059639

zbMATH Open1044.93067MaRDI QIDQ4457908FDOQ4457908

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Publication date: 17 March 2004

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zbMATH Keywords

discretizationHamilton-Jacobi-Bellman equationnonlinear systemrelaxed controlMarkov chain approximationapproximation techniquesapproximating value functions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Finite difference and finite volume methods for ordinary differential equations (65L12) Optimal stochastic control (93E20)

Cited In (6)

• Title not available (Why is that?)
• The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
• Linearization techniques for controlled piecewise deterministic Markov processes; application to Zubov's method
• A sparse Markov chain approximation of LQ-type stochastic control problems.
• Title not available (Why is that?)
• Convergence of Markov chain approximation on generalized HJB equation and its applications

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