Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints

DOI10.1007/BF01972698zbMATH Open0781.93099MaRDI QIDQ686133FDOQ686133

Authors: K. Naimipour, Floyd B. Hanson 

Publication date: 17 October 1993

Published in: Dynamics and Control (Search for Journal in Brave)

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zbMATH Keywords

Poisson noisestochastic optimal controlBellman equationCrank-Nicolson computer algorithmGaussian stochastic noise

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cited In (4)

• Parallel stochastic dynamic programming: Finite element methods
• Convergence of an Upwind Finite-Difference Scheme for Hamilton–Jacobi–Bellman Equation in Optimal Control
• On the numerical solution of optimal control problems via Bell polynomials basis
• Distributed parameters deterministic model for treatment of brain tumors using Galerkin finite element method

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