Consistency issues for numerical methods for variance control, with applications to optimization in finance

DOI10.1109/9.811211zbMath0955.91026OpenAlexW2118816771MaRDI QIDQ4506991

Harold J. Kushner

Publication date: 17 October 2000

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b3aac649f093aae25f38134280f575d3dff7b288

zbMATH Keywords

stochastic optimal controlnumerical algorithmsvariance controlMarkov chain approximationoptimal control of diffusion-type processes

Mathematics Subject Classification ID

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