On the time discretization of stochastic optimal control problems: The dynamic programming approach

DOI10.1051/cocv/2018045zbMath1447.93373OpenAlexW2602009922WikidataQ129354188 ScholiaQ129354188MaRDI QIDQ5107968

Francisco J. Silva, Justina Gianatti, Joseph Frédéric Bonnans

Publication date: 29 April 2020

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11336/121755

zbMATH Keywords

feedback controltime-discretizationoptimal stochastic control problemsconvergence of the approximate value functionsminimizing sequences of controls

Mathematics Subject Classification ID

Feedback control (93B52) Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (2)

Convergence of a Robust Deep FBSDE Method for Stochastic Control ⋮ Existence of Lagrange Multipliers under Gâteaux Differentiable Data with Applications to Stochastic Optimal Control Problems

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