An approximation scheme for the optimal control of diffusion processes
type: Item
instance of: scholarly article
title: An approximation scheme for the optimal control of diffusion processes
zbMATH Open document ID: 0822.65044
author: Fabio Camilli
author: M. Falcone
published in: ESAIM: Mathematical Modelling and Numerical Analysis
publication date: 1995-10-15T00:00:00Z
full work available at URL: https://eudml.org/doc/193769
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 753948
zbMATH Keywords: numerical tests
zbMATH Keywords: optimal control
zbMATH Keywords: stochastic diffusion process
zbMATH Keywords: dynamic programming
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: convergence
zbMATH Keywords: feedback controls
MaRDI profile type: Publication
OpenAlex ID: W61439753
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DOI: 10.1051/M2AN/1995290100971
description: scientific article; zbMATH DE number 753948