Gradient method for computing optimal controls for stochastic differential equations

DOI10.1080/07362998708809110zbMath0625.93079OpenAlexW1975914281MaRDI QIDQ3028853

Hartanto Wijaya Wong, Tayel Essawy Dabbous, Nasir Uddin Ahmed

Publication date: 1987

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998708809110

zbMATH Keywords

gradient methodsuboptimal controlcompletely observable non- degenerated diffusion process with controlled drift

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Methods of reduced gradient type (90C52) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• Solution of the stochastic control problem in unbounded domains
• A numerical technique for small-noise stochastic control problems
• Optimal control of stochastic Ito differential systems by fixed terminal time
• An Existence Theorem on Optimal Control of Partially Observable Diffusions
• Optimal Control of Partially Observable Diffusions
• Diffusion processes with continuous coefficients, I

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