On the policy improvement algorithm in continuous time

DOI10.1080/17442508.2016.1187609zbMath1380.93289arXiv1509.09041OpenAlexW2264072961WikidataQ115003795 ScholiaQ115003795MaRDI QIDQ2974868

Aleksandar Mijatović, S. D. Jacka

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.09041

zbMATH Keywords

general state spacepolicy improvement algorithmgeneral controlsstochastic control in continuous time

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (5)

Extensions of the deep Galerkin method ⋮ Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions ⋮ A modified MSA for stochastic control problems ⋮ A policy iteration algorithm for the American put option and free boundary control problems ⋮ On the parabolic equation for portfolio problems

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