Stochastic optimal control theory and its computational methods

DOI10.1080/00207728008966998zbMath0427.49014OpenAlexW2000544787MaRDI QIDQ3862665

D. W. Reid, I. E. Boyd, Kok Lay Teo

Publication date: 1980

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728008966998

zbMATH Keywords

diffusion processcomputer algorithm

Mathematics Subject Classification ID

Related Items (6)

First-order strong variation algorithm for optimal control problems involving parabolic systems ⋮ Optimal insurance in a changing economy ⋮ Optimal control for uncertain stochastic dynamic systems with jump and application to an advertising model ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ Hitting a target with maximum probability ⋮ Optimal investment-reinsurance with dynamic risk constraint and regime switching

Cites Work

• Unnamed Item

This page was built for publication: Stochastic optimal control theory and its computational methods