An Algorithm for Infinite Dimensional Stochastic Control Problems

DOI<link itemprop=identifier href="https://doi.org/10.1002/1521-4001(200211)82:11/12<767::AID-ZAMM767>3.0.CO;2-M" /><767::AID-ZAMM767>3.0.CO;2-M 10.1002/1521-4001(200211)82:11/12<767::AID-ZAMM767>3.0.CO;2-MzbMath1027.93042OpenAlexW2014256529MaRDI QIDQ4795218

Wilfried Grecksch

Publication date: 23 February 2003

Full work available at URL: https://doi.org/10.1002/1521-4001(200211)82:11/12<767::aid-zamm767>3.0.co;2-m

zbMATH Keywords

finite-dimensional approximationsstochastic maximum principleadjoint processHamilton functionsBonnans algorithm

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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