Diffusion Approximation and Optimal Stochastic Control

DOI10.1137/S0040585X97977860zbMath0974.60066OpenAlexW2017198824MaRDI QIDQ2711151

Wolfgang J. Runggaldier, Robert Sh. Liptser, Michael I. Taksar

Publication date: 2 May 2001

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97977860

zbMATH Keywords

weak convergencediffusion processesasymptotic optimalityoptimal stochastic controlLipschitz feedback

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

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