An approximation scheme for the optimal control of diffusion processes

DOI10.1051/m2an/1995290100971zbMath0822.65044OpenAlexW61439753MaRDI QIDQ4698679

Fabio Camilli, Maurizio Falcone

Publication date: 15 October 1995

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/193769

zbMATH Keywords

optimal controlconvergenceHamilton-Jacobi-Bellman equationdynamic programmingnumerical testsstochastic diffusion processfeedback controls

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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