Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations

DOI10.1016/j.crma.2005.02.001zbMath1067.60045OpenAlexW2031520946MaRDI QIDQ1773340

Rémi Munos, Hasnaa Zidani

Publication date: 28 April 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2005.02.001

zbMATH Keywords

convergencedynamic programmingstochastic optimal controlHamilton-Jacobi-Bellman equation of second orderMarkov Decision Process approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Variable resolution discretization in optimal control
• Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
• An approximation scheme for the optimal control of diffusion processes
• A fast algorithm for the two dimensional HJB equation of stochastic control
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