Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost (Q4684783)
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scientific article; zbMATH DE number 6943359
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost |
scientific article; zbMATH DE number 6943359 |
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Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost (English)
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25 September 2018
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stochastic optimal control
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running maximum
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semi-Lagrangian schemes
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convergence
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viscosity solutions
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dynamic programming
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