Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions
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Publication:5111071
DOI10.1137/19M1236758zbMath1441.93343arXiv1812.07846WikidataQ114978697 ScholiaQ114978697MaRDI QIDQ5111071
Lukasz Szpruch, B. Kerimkulov, David Šiška
Publication date: 26 May 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.07846
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Exponential stability (93D23)
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