Deterministic Approximation for Stochastic Control Problems

DOI10.1137/S0363012993254540zbMath0867.93085OpenAlexW1996105054MaRDI QIDQ4874945

Wolfgang J. Runggaldier, Michael I. Taksar, Robert Sh. Liptser

Publication date: 11 August 1997

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012993254540

zbMATH Keywords

optimal controlstochastic controlfluid approximation

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Existence theories for optimal control problems involving ordinary differential equations (49J15) Convergence of probability measures (60B10) Functional limit theorems; invariance principles (60F17) Optimality conditions for problems involving randomness (49K45)

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