New efficient numerical procedures for solving stochastic variational problems with a priori maximum pointwise error estimates

DOI10.1016/j.jmaa.2006.06.021zbMath1112.60051OpenAlexW1964456561MaRDI QIDQ864651

N. E. Zubov

Publication date: 12 February 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.06.021

zbMATH Keywords

stochastic differential equationWiener processnumerical methodsquadratic controlpathwise optimal controlstochastic variational problems

Mathematics Subject Classification ID

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Cites Work

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• Discrete Variable Methods for the m-Dependent Variable, Nonlinear Extremal Problem in the Calculus of Variations
• Discrete Variable Methods for the m–Dependent Variable Nonlinear, Extremal Problem in the Calculus of Variations II
• O(h² ) Global Pointwise Algorithms for Delay Quadratic Problems in the Calculus of Variations
• Stochastic differential equations. An introduction with applications.

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