Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation

DOI10.1007/s00211-004-0555-4zbMath1074.65009OpenAlexW2114599381MaRDI QIDQ706233

Lars Grüne

Publication date: 8 February 2005

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-004-0555-4

zbMATH Keywords

numerical examplesstochastic optimal controla posteriori error estimatesfeedback optimal controlstochastic Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Error bounds for boundary value problems involving PDEs (65N15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Discrete approximations in optimal control (49M25) Existence of optimal solutions to problems involving randomness (49J55)

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