An approximation scheme for the optimal control of diffusion processes
Fabio Camilli; Maurizio Falcone
- Volume: 29, Issue: 1, page 97-122
- ISSN: 0764-583X
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topCamilli, Fabio, and Falcone, Maurizio. "An approximation scheme for the optimal control of diffusion processes." ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique 29.1 (1995): 97-122. <http://eudml.org/doc/193769>.
@article{Camilli1995,
author = {Camilli, Fabio, Falcone, Maurizio},
journal = {ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique},
keywords = {numerical tests; optimal control; stochastic diffusion process; dynamic programming; Hamilton-Jacobi-Bellman equation; convergence; feedback controls},
language = {eng},
number = {1},
pages = {97-122},
publisher = {Dunod},
title = {An approximation scheme for the optimal control of diffusion processes},
url = {http://eudml.org/doc/193769},
volume = {29},
year = {1995},
}
TY - JOUR
AU - Camilli, Fabio
AU - Falcone, Maurizio
TI - An approximation scheme for the optimal control of diffusion processes
JO - ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique
PY - 1995
PB - Dunod
VL - 29
IS - 1
SP - 97
EP - 122
LA - eng
KW - numerical tests; optimal control; stochastic diffusion process; dynamic programming; Hamilton-Jacobi-Bellman equation; convergence; feedback controls
UR - http://eudml.org/doc/193769
ER -
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