Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
From MaRDI portal
Publication:6596347
stochastic differential equationsoptimal control problemRunge-Kutta methodTaylor expansionweak order condition
Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Methods involving semicontinuity and convergence; relaxation (49J45) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions (49K99)
Recommendations
- Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems
- Simulation of stochastic optimal control problems with symplectic partitioned Runge-Kutta scheme
- scientific article; zbMATH DE number 3944664
- Weak Second Order Conditions for Stochastic Runge--Kutta Methods
- scientific article; zbMATH DE number 3849957
Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1095138 (Why is no real title available?)
- A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
- An effective gradient projection method for stochastic optimal control
- Applied stochastic control of jump diffusions
- Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
- Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
- Existence results for optimal stochastic controls
- Linear quadratic optimal control problems of delayed backward stochastic differential equations
- Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
- New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
- Numerical Methods for Ordinary Differential Equations
- On a class of stochastic Runge Kutta methods
- Optimal control of stochastic differential equations via Fokker-Planck equations
- Optimum consumption and portfolio rules in a continuous-time model
- Order conditions of stochastic Runge--Kutta methods by B-series
- Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
- Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
- Runge-Kutta methods for numerical solution of stochastic differential equations
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Second-order weak approximations for Stratonovich stochastic differential equations
- Simulation of stochastic optimal control problems with symplectic partitioned Runge-Kutta scheme
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
- Strong-order conditions of Runge-Kutta method for stochastic optimal control problems
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- Two-step Runge-Kutta methods for stochastic differential equations
- Weak Second Order Conditions for Stochastic Runge--Kutta Methods
- Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
- Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
This page was built for publication: Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6596347)
