Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints

DOI10.1007/BF01972698zbMath0781.93099MaRDI QIDQ686133

K. Naimipour, Floyd B. Hanson

Publication date: 17 October 1993

Published in: Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

Bellman equationstochastic optimal controlPoisson noiseCrank-Nicolson computer algorithmGaussian stochastic noise

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Parallel stochastic dynamic programming: Finite element methods, Distributed parameters deterministic model for treatment of brain tumors using Galerkin finite element method

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