Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems

DOI10.1016/j.cam.2017.10.011zbMath1377.65068OpenAlexW2766742222MaRDI QIDQ1678129

Fikriye Yılmaz, Hacer Öz Bakan, Gerhard-Wilhelm Weber

Publication date: 14 November 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.10.011

zbMATH Keywords

optimal controlstochastic differential equationRunge-Kutta methodStratonovich-Taylor expansionminimal truncation error

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (2)

An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method ⋮ Strong-order conditions of Runge-Kutta method for stochastic optimal control problems

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