A local iterative approach for solving the stochastic Hamilton-Jacobi-Bellman equation (SHJBE) arising in the stochastic control of affine nonlinear systems

DOI10.1002/OCA.2393zbMath1391.93290OpenAlexW2774289844MaRDI QIDQ3176481

Publication date: 20 July 2018

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2393

zbMATH Keywords

Hamilton-Jacobi-Bellman equation stochastic optimal control quadratic convergence secant method affine nonlinear system bounded continuous function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

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