A local iterative approach for solving the stochastic Hamilton-Jacobi-Bellman equation (SHJBE) arising in the stochastic control of affine nonlinear systems (Q3176481)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A local iterative approach for solving the stochastic Hamilton-Jacobi-Bellman equation (SHJBE) arising in the stochastic control of affine nonlinear systems |
scientific article |
Statements
A local iterative approach for solving the stochastic Hamilton-Jacobi-Bellman equation (SHJBE) arising in the stochastic control of affine nonlinear systems (English)
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20 July 2018
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affine nonlinear system
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bounded continuous function
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Hamilton-Jacobi-Bellman equation
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secant method
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stochastic optimal control
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quadratic convergence
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