scientific article; zbMATH DE number 2059639

MaRDI QIDQ4457908zbMATH OpenFDO

Authors

Publication date 17 March 2004

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)

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(6)

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• Linearization techniques for controlled piecewise deterministic Markov processes; application to Zubov's method
• A sparse Markov chain approximation of LQ-type stochastic control problems.
• scientific article; zbMATH DE number 1135614 (Why is no real title available?)
• Convergence of Markov chain approximation on generalized HJB equation and its applications

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