Approximations, existence, and numerical procedures for optimal stochastic controls

DOI10.1016/0022-247X(74)90052-3zbMath0285.93037OpenAlexW2074212393MaRDI QIDQ1845563

Chen-Fu. Yu, Harold J. Kushner

Publication date: 1974

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(74)90052-3

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Finite difference methods for boundary value problems involving PDEs (65N06) Miscellaneous topics in partial differential equations (35R99) Numerical approximation and computational geometry (primarily algorithms) (65D99)

Related Items (7)

A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ Computational and approximate methods of optimal control ⋮ Computation of optimal controls for a nonlinear stochastic third-order system ⋮ Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions ⋮ Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes ⋮ Approximations and computational methods for optimal stopping and stochastic impulsive control problems ⋮ Existence results for optimal stochastic controls

Cites Work

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• The existence of optimal controls
• Probability limit theorems and the convergence of finite difference approximations of partial differential equations
• On Filippov's Implicit Functions Lemma
• Existence of Optimal Stochastic Control Laws
• Weak Solutions of a Partial Differential Equation of Dynamic Programming
• Mathematical programming and the control of Markov chains†

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