Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation

DOI10.1137/23m1549018arXiv2302.03329MaRDI QIDQ6148450

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Publication date: 7 February 2024

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

Full work available at URL: https://arxiv.org/abs/2302.03329

zbMATH Keywords

dynamic programmingstochastic optimal controltime discretizationpartial observationcompactification method

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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