An approximation scheme for the optimal control of diffusion processes
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convergencedynamic programmingHamilton-Jacobi-Bellman equationoptimal controlnumerical testsstochastic diffusion processfeedback controls
Numerical optimization and variational techniques (65K10) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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