Iterative schemes for certain time-dependent problems of stochastic optimal control

DOI10.1080/00207178908953459zbMath0686.49011OpenAlexW2066200709MaRDI QIDQ4204710

S. A. Belbas, I. D. Mayergoyz

Publication date: 1989

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178908953459

zbMATH Keywords

discretizationiterative schemesparabolic quasi-variational inequalitiesdiscrete control actions (switchings)

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Variational inequalities (49J40) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

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• Convergent approximations in parabolic variational inequalities. II: Hamilton-Jacobi inequalities
• On the Convergence of the Discrete Time Dynamic Programming Equation for General Semigroups
• A Convergence Estimate for an Approximation of a Parabolic Variational Inequality

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