A high-order numerical scheme for stochastic optimal control problem

DOI10.1016/j.cam.2023.115158zbMath1512.65213OpenAlexW4321483475MaRDI QIDQ6099532

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Publication date: 20 June 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2023.115158

zbMATH Keywords

stochastic optimal controloptimal error estimateslocal discontinuous Galerkin methodfully nonlinear second-order PDEs

Mathematics Subject Classification ID

Newton-type methods (49M15) Optimal stochastic control (93E20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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