Numerical method of design of stochastic optimal control systems

zbMath0645.93068MaRDI QIDQ1103582

G. E. Kolosov, M. M. Sharov

Publication date: 1987

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

numerical solutionBellman's equationfinite-difference schemeboundary conditions for the loss functionoptimal damping of random oscillations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear programming (90C05) Optimal stochastic control (93E20) Diffusion processes (60J60) Finite difference methods for boundary value problems involving PDEs (65N06)

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