Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs

DOI10.1093/IMAMCI/DNAB031zbMath1480.93450OpenAlexW3199736687MaRDI QIDQ5021472

Yan Qing Wang

Publication date: 13 January 2022

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/dnab031

zbMATH Keywords

stochastic differential equationstochastic linear quadratic problemerror estimate with rates

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10)

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