scientific article; zbMATH DE number 2059639

zbMATH Open1044.93067MaRDI QIDQ4457908

Author name not available (Why is that?)

Publication date: 17 March 2004

Title of this publication is not available (Why is that?)

zbMATH Keywords

discretizationHamilton-Jacobi-Bellman equationnonlinear systemrelaxed controlMarkov chain approximationapproximation techniquesapproximating value functions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Finite difference and finite volume methods for ordinary differential equations (65L12)

Related Items (3)

Title not available (Why is that?) ⋮ A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.

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