Consistency issues for numerical methods for variance control, with applications to optimization in finance
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Publication:4506991
DOI10.1109/9.811211zbMath0955.91026MaRDI QIDQ4506991
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
stochastic optimal control; numerical algorithms; variance control; Markov chain approximation; optimal control of diffusion-type processes
93E20: Optimal stochastic control
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