Deterministic Approximation for Stochastic Control Problems
DOI10.1137/S0363012993254540zbMATH Open0867.93085OpenAlexW1996105054MaRDI QIDQ4874945FDOQ4874945
Authors: Wolfgang J. Runggaldier, R. Liptser, Michael Taksar 
Publication date: 11 August 1997
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012993254540
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Convergence of probability measures (60B10) Functional limit theorems; invariance principles (60F17) Existence theories for optimal control problems involving ordinary differential equations (49J15) Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving randomness (49K45) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)
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