An Approximation Method in Optimal Stochastic Control

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1978 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Control and Optimization, volume 16, pages 122-130 (issn: 0363-0129, eissn: 1095-7138,

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Authors: Bismut, Jean-Michel;

doi: 10.1137/0316009

An Approximation Method in Optimal Stochastic Control

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Abstract

The purpose of this paper is to prove that an approximation scheme can be defined for the general problems of optimal stochastic control which we have solved in Theorie probabiliste du controle des diffusions, Mem. Amer. Math. Soc., 1976 [2].

Keywords

Computational methods in stochastic control, approximation method, Optimal stochastic control, Diffusion processes, optimal stochastic control

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