Strong-order conditions of Runge-Kutta method for stochastic optimal control problems

DOI10.1016/j.apnum.2020.07.002OpenAlexW3041081265MaRDI QIDQ2192638

Fikriye Yılmaz, Gerhard-Wilhelm Weber, Hacer Öz Bakan

Publication date: 17 August 2020

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2020.07.002

zbMATH Keywords

optimal controlstochastic differential equationsRunge-Kutta methodStratonovich-Taylor expansion

Mathematics Subject Classification ID

Existence theories in calculus of variations and optimal control (49Jxx) Numerical methods in optimal control (49Mxx) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx)

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