On the approximation of optimal stochastic controls

DOI10.1007/BF00933509zbMath0493.93059MaRDI QIDQ1168941

Ulrich G. Haussmann

Publication date: 1983

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

weak convergencestochastic maximum principlecontrolled diffusionapproximating controls

Mathematics Subject Classification ID

Maximum principles in context of PDEs (35B50) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

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On a problem of quasi-optimal impulse correction of stochastic systems ⋮ Parameter sensitivity in stochastic optimal control^∗

Cites Work

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