Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
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a posteriori error estimatesfeedback optimal controlnumerical examplesstochastic Hamilton-Jacobi-Bellman equationstochastic optimal control
Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical optimization and variational techniques (65K10) Error bounds for boundary value problems involving PDEs (65N15)
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Cites work
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- Numerical approximation of the maximal solutions for a class of degenerate Hamilton-Jacobi equations
- On numerical algorithm and interactive visualization for optimal control problems
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- An adaptive method with rigorous error control for the Hamilton--Jacobi equations. II: The two-dimensional steady-state case
- Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Dynamic programming using radial basis functions
- STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD
- A numerical method for hybrid optimal control based on dynamic programming
- A numerical algorithm based on a variational iterative approximation for the discrete Hamilton-Jacobi-Bellman (HJB) equation
- Asset pricing with loss aversion
- Error estimates for a stochastic impulse control problem
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