Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
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Publication:706233
numerical examplesa posteriori error estimatesstochastic optimal controlfeedback optimal controlstochastic Hamilton-Jacobi-Bellman equation
Numerical optimization and variational techniques (65K10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for boundary value problems involving PDEs (65N15)
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- scientific article; zbMATH DE number 4187029 (Why is no real title available?)
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Cited in
(13)- STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD
- An adaptive method with rigorous error control for the Hamilton--Jacobi equations. II: The two-dimensional steady-state case
- An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation
- A numerical method for hybrid optimal control based on dynamic programming
- Asset pricing with loss aversion
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Dynamic programming using radial basis functions
- Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations
- Error estimates for a stochastic impulse control problem
- A numerical algorithm based on a variational iterative approximation for the discrete Hamilton-Jacobi-Bellman (HJB) equation
- Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
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