An approximation scheme for the optimal control of diffusion processes

Fabio Camilli; Maurizio Falcone

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique (1995)

  • Volume: 29, Issue: 1, page 97-122
  • ISSN: 0764-583X

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Camilli, 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 -

References

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Citations in EuDML Documents

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  1. Guy Barles, Espen Robstad Jakobsen, On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equations
  2. Guy Barles, Espen Robstad Jakobsen, On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
  3. J. Frédéric Bonnans, Élisabeth Ottenwaelter, Housnaa Zidani, A fast algorithm for the two dimensional HJB equation of stochastic control
  4. J. Frédéric Bonnans, Élisabeth Ottenwaelter, Housnaa Zidani, A fast algorithm for the two dimensional HJB equation of stochastic control

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