Approximation of controlled solutions of Ito's equation by controlled Markov chains
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Publication:787592
DOI10.1007/BF00968597zbMath0529.60082MaRDI QIDQ787592
Publication date: 1983
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60J60: Diffusion processes
49J20: Existence theories for optimal control problems involving partial differential equations
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