Numerical methods for random parameter optimal control and the optimal control of stochastic differential equations
dynamic programmingMallavin calculusPontryagin's maximum principlestochastic differential equationsstochastic optimal controlWiener chaos expansions
Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for mathematical programming, optimization and variational techniques (65K99) Dynamic programming (90C39) Optimal stochastic control (93E20)
- Numerical solutions for optimal control of stochastic Kolmogorov systems
- Solving stochastic optimal control problems by a Wiener chaos approach
- The numerical synthesis of optimal control for a linear differential equation with random coefficient
- scientific article; zbMATH DE number 17901 (Why is no real title available?)
- Numerical Methods for Stochastic Singular Control Problems
- Optimal control with random parameters: a multiscale approach
- Numerical optimal control for problems with random forced SPDE constraints
- Numerical solution of a conspicuous consumption model with constant control delay
- Numerical approximation of optimal control problems for stochastic neuron models in infinite dimensions
- Probability methods for approximations in stochastic control and for elliptic equations
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