Numerical solution to a stochastic interception problem

DOI10.1002/CNM.1640101106zbMath0811.65139OpenAlexW2070197410MaRDI QIDQ4315431

Gerhard W. Reuter

Publication date: 11 December 1994

Published in: Communications in Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cnm.1640101106

zbMATH Keywords

finite difference methodvector stochastic differential equationFokker-Planck partial differential equationstochastic interception problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for boundary value problems involving PDEs (65N06) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Probability methods for approximations in stochastic control and for elliptic equations
• Stochastic pursuit-evasion differential games in the plane
• A finite element method for the statistics of non-linear random vibration
• Optimal bang-bang control of partially observable stochastic systems†
• Computation of nash equilibrium pairs of a stochastic differential game
• Persistence of Dynamical Systems under Random Perturbations

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