Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs
From MaRDI portal
Publication:5021472
DOI10.1093/IMAMCI/DNAB031zbMath1480.93450OpenAlexW3199736687MaRDI QIDQ5021472
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
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10)
This page was built for publication: Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs