Approximation in optimal control of diffusion processes

DOI10.1515/rose.2000.8.4.365zbMath0973.60069OpenAlexW2062426102MaRDI QIDQ2722268

Seid Bahlali, Brahim Mezerdi

Publication date: 11 July 2001

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2000.8.4.365

zbMATH Keywords

optimal controldiffusion processcost functionrelaxed control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60)

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