Convergence of Markov chain approximation on generalized HJB equation and its applications

DOI10.1016/j.automatica.2007.07.014zbMath1283.93319OpenAlexW2046624619MaRDI QIDQ2440656

Yanyan Li

Publication date: 19 March 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2007.07.014

zbMATH Keywords

differential gamesdynamic programmingstochastic controlconvergence of numerical methods

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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• Numerical Solutions for Stochastic Differential Games With Regime Switching
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• Numerical Methods for Stochastic Control Problems in Continuous Time

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