scientific article
From MaRDI portal
Publication:2865642
zbMath1280.65061MaRDI QIDQ2865642
Ning Du, Wen-bin Liu, Jing-Tao Shi
Publication date: 2 December 2013
Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume10-1.htm
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
convergencenumerical examplesstochastic optimal controlstochastic maximum principleEuler methodgradient projection algorithmorbit Monte Carlo simulations
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method ⋮ A priori error estimate of stochastic Galerkin method for optimal control problem governed by stochastic elliptic PDE with constrained control ⋮ Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems ⋮ Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model ⋮ Strong-order conditions of Runge-Kutta method for stochastic optimal control problems ⋮ An Efficient Gradient Projection Method for Stochastic Optimal Control Problems ⋮ Stochastic Galerkin method for optimal control problem governed by random elliptic PDE with state constraints ⋮ A priori error estimate of perturbation method for optimal control problem governed by elliptic PDEs with small uncertainties
Uses Software
This page was built for publication: