An approximation scheme for the optimal control of diffusion processes
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Publication:4698679
DOI10.1051/M2AN/1995290100971zbMATH Open0822.65044OpenAlexW61439753MaRDI QIDQ4698679FDOQ4698679
Publication date: 15 October 1995
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/193769
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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