Meshfree approximation for stochastic optimal control problems

DOI10.4208/CMR.2021-0022MaRDI QIDQ5095683zbMATH OpenOpenAlexFDO

Authors Sun Hui, Feng Bao

Publication date 10 August 2022

Published in Communications in Mathematical Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.09997

zbMATH Keywords

maximum principlebackward stochastic differential equationsstochastic optimal controlmeshfree approximation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20)

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(3)

• Adjoint-based optimal control using meshfree discretizations
• Moving least-squares approximations for linearly-solvable stochastic optimal control problems
• Meshfree Finite Volume Element Method for Constrained Optimal Control Problem Governed by Random Convection Diffusion Equations

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