Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation

DOI10.1007/s00211-004-0555-4zbMath1074.65009MaRDI QIDQ706233

Lars Grüne

Publication date: 8 February 2005

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-004-0555-4

zbMATH Keywords

numerical examples; stochastic optimal control; a posteriori error estimates; feedback optimal control; stochastic Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

65K10: Numerical optimization and variational techniques

49L20: Dynamic programming in optimal control and differential games

65N15: Error bounds for boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

49M25: Discrete approximations in optimal control

49J55: Existence of optimal solutions to problems involving randomness

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