Deterministic Approximation for Stochastic Control Problems

DOI10.1137/S0363012993254540MaRDI QIDQ4874945zbMATHOpenAlexFDO

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

zbMATH Keywords

optimal controlstochastic controlfluid approximation

Mathematics Subject Classification ID

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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