Meshfree Approximation for Stochastic Optimal Control Problems

DOI10.4208/CMR.2021-0022OpenAlexW3176122385MaRDI QIDQ5095683

Feng Bao, Sun Hui

Publication date: 10 August 2022

Published in: Communications in Mathematical Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.09997

zbMATH Keywords

maximum principlestochastic optimal controlbackward stochastic differential equationsmeshfree approximation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

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